Everything is canon, the multiverse is an established thing in universe. There are multiple different types of Timeline with foundational differences, but while Apocrypha and Stay Night for example don't share continuity they are both canon.

To answer the overall question: very.

As for what's happening in each work, to avoid spoilers I'm gonna be very nonspecific.

If it has Fate in the title it, in some way, involves servants and in all but Requiem, a Grail War.

Case Files is about Waver Velvet after Zero but before FSN.

Adventures of Lord El-Melloi is about Waver after FSN.

Tsukihime is about a guy named Shiki Tohno who's life is a bit of a mess, to be nonspecific (Don't watch this one's anime. It doesn't exist)

Kara No Kyoukai is about a girl named Shiki Ryougi who's life is a mess. This one has good anime.

Mahoutsukai No Yoru is about three disasters: Aoko Aozaki, Soujuurou, and Alice.

Other works do exist, but these are the big ones.