Xenogears is easily one of the best games out there. The story is extremely deep, to the point where it drives you crazy. The battling is fun; any game where you can pilot badass robots must be fun, right? Right? Everything about the game is flawless, but some may be annoyed with the cut-scenes, but they're not nearly as annoying, pointless, or as convoluted as Xenosaga games.
Xenosaga is merely alright. The story is good, don't get me wrong, but the battle system bores the hell out of me. Either that, or it was too complicated to understand. Nevertheless, if you want a good story, this game is for you, as it has 30 hours of talking and a half hour of game time.
So yeah, get Xenogears, I'd say.
Do they tie in with each other?
Not at all, give or take a few minor similarities. (Similar place names, character references, etc.) They do take place during the same time line, but supposedly Xenosaga is thousands of years before Xenogears. So, in other words, you won't have to play Xenosaga in order to get Xenogears, and vice versa.