The games take place in the Labyrinth, a giant, mysterious, shifting place that carries memories of the people who have traveled within it. In Hitodama, a kid named Hito is spirited away to this Labyrinth by two wisps, Jack and Will. As he journeys through the Labyrinth, he comes to realize that the monsters he's fighting are the lost souls of humans. Eventually, he discovers that his own memories aren't real, that he has subconsciously invented a persona for himself. He is actually one of the Wisps himself. He then defeats his tyrannical master, The Lord of the Lost, saving himself and his brothers from his control.
In Yuurei, we join Rhone, who has broken into the Labyrinth in search of his lost siblings. Soon, he meets Jandra, a mysterious woman who taunts him as he goes about his search. He meets a young girl named Naiya, who was trapped in the Labyrinth by the Wisps. Soon, he learns that Jandra and Tyre are a special type of ghost called Yuurei - nearly immortal beings who feed on human emotional energy, regenerate from wounds, and fall into hibernation to recover from "death." It is also revealed that Naiya was not in fact an innocent victim of the Wisps, but a Yuurei herself, who delights in drowning her victims. Eventually, he manages to defeat the Yuurei (but not kill them), and escape the Labyrinth with his life.
Meanwhile, the Wisps are dying. Without the power of their master to sustain them, their own powers are waning. At some point in Yuurei's backstory, they are approached by a mysterious girl called Flect. She directs them to seek out and "banish" the Yuurei, and steal their powers for their own to survive. To make a long story short, Will, a green Wisp, manages to track town and seal Jandra and Tyre. (It is these scenes that you see in the opening to Reikon.) He also learns that Tyre was in fact the Lord of the Lost, returned to life after hibernating since his defeat.
That's where Reikon's story begins. Flect has orchestrated the banishment of two of the Yuurei. Holm wakes up disoriented in the Labyrinth, and meets Flect shortly after awakening.