Do the three form a trilogy? They certainly seem to: The Battle of Brazil explains that Gilliam's trilogy is about the ages of man, and the subordination of magic to realism. Time Bandits was part one, about the fantasist as a child. Brazil was part two, the fantasist as a young man, and Baron Munchausen closes the series with its story about an old man who, through the innocence and open mindedness of a small girl, regains his belief in magic. Both Time Bandits and Brazil have bleak endings, but Baron Munchausen shows the final triumph of this sort of magic through fantasy, as Munchausen circumvents the reality of his death in his own tall tales, achieving immortality through his storytelling.
Considering that Gilliam was on record calling Baron Munchausen the third in the trilogy before production on Munchausen began, it is definite that even if Gilliam was not thinking of making a trilogy as he wrote and filmed Time Bandits and Brazil, he certainly considered them that at the end, and made Baron Munchausen with that in mind.
Now, I've loved all three movies and I can see why he would consider them to be a trilogy, which is probably why I haven't liked his other movies, these three were written by Gilliam and they all have his view of the world.
What does everybody else think, do they all fit together, even if they aren't one storyline like other recent trilogies?