It really depends... Some of the short stories in the anthologies are entirely standalone, with no connections to anything else. And others, of course, are further tales about known characters.
The vast number of the anthology stories are stand alone stories. 'Guenhwyvar' is short story about the origin/creation of Guehwyvar, but you don't need to know who Guenhwyvar is to enjoy the story. The story stands just fine on it's own.