from what i understand, one of the games you go into the past and help put the actual watch together. Then of course, there are Yokai exclusive to each game. I believe you can import certain ones from the first game.
I loved Yokai Watch and played 160 hours just trying to catch them. This was my first foray into the monster collecting games, and i loved every minute. My favorite is Komasan, and i am seriously thinking about getting a tattoo of him. Awesome game and cartoon too!