Well, bear in mind that the ten books are split into two five-book arcs, and they won't share main characters (minor characters might became major characters from on to the other, and vice versa)
All of the epic fantasy books are in the same universe, yes (the Cosmere).
Szeth was different, but his change has been gradual from the beginning of WoK.
; whatever else Sanderson has yet to reveal, which I'm sure is extensive; and of course, the actual climax of the war against Odium.[/SPOILER]
Two books in, Stormlight Archives is already my favorite fantasy series ever. It's absolutely brilliant.