yeah, there are a lot of recurring characters that make cameos. Best to start with the early books.
But unless you're a connoisseur of 60s and 70s fantasy (I'm not, might have gotten the decades wrong even!), dont rush to read the very first two because those are just a series of vignettes pastiching a bunch of novels I've never read or heard of. Also some Lovecraft. Funny, but confusing.