They are all related and written by Jim Starlin, the writer of Infinity Gauntlet. Infinity War was ok. Infinity Crusade, the final chapter in the trilogy was kinda redundant by then and didn't factor into the Marvel universe as much so I didn't read it. Infinity Watch was good - it primarily bridged the gap between Gauntlet and War. It lasted 42 issues so after Infinity Crusade ended, it ceased to have a purpose.
Bottom line......I compare the Infinity trilogy to the Matrix trilogy. The first one blew my tiny little mind, the second was cool and by the third I was like who gives a crap.