each one is like a old movie, they are very very loosely intertwined.
Each episode involves Wallace, with a new job, having a problem and needing to use his wits and Gromit's as well to solve it. For example, in The Last Resort, episode 2, Wallace wants to make an indoor beach resort, but it's ruined when someone barks up the wrong tree and gets thumped, ensuing chaos. To understand the gameplay, I sincerely advise downloading the Grand Adventures demo from
here. Essentially, you snoop around the enviroment, talk to characters, pick up items, and use them together in a creative way to solve Wallace's problems so they can save the residents of West Wallaby Street!