Sonic maybe the exception, it has a Manga from many years ago, just a graphic novel is enough to catch that it has a big difference with other games, it maybe not Mario's case because he just goes some kind of Mushrooms steroids and Nintendo don't want that image (the same goes for Pac-Man "PowerPills").
--------------------------------------------------------
And it's not really dense, but it's something that has chronological events which makes sense, not like if a new game takes place in an alternate different universe where they drop the other plot, and it makes no difference if you played or not the others.