I was doing some checking to see if Hoid showed up in
Alloy of Law beyond writing the appendix (and namechecking Sel, the name of the Mistborn planet) and was surprised to see a lot more developments in the Cosmere 'shared world' stuff, a lot of it emerging from detailed re-readings of
The Way of Kings. Most surprising was that minor characters from both
Mistborn and
Elantris actually show up in
Way of Kings as Hoid-like world travellers, apparently looking for him:
Also interesting is
a letter which Hoid writes and appears in the book.
Oh yeah, and Hoid is in
Alloy of Law:
Some other interesting tidbits from sifting through various Sanderson wikis and forums:
The current plan (subject to change) is for Sanderson to write
Stormlight #2-5 sequentially, interspersed with several Wax/Wayne
Mistborn side-novels. He'll then write the
Mistborn II trilogy, followed by
Stormlight #6-10 (possibly interspersed with
Warbreaker II) and then the
Mistborn III trilogy. After that, we might get the seven-volume
Dragonsteel series (which is apparently a duology followed by a five-volume 'main' series).
Dragonsteel sounds like it goes right back to the start of the Cosmere mythology and will explain Adonalsium and the Shards. Apparently Sanderson was working on a draft of the first
Dragonsteel book,
The Liar of Partinel, when the
WoT gig came up but chose to delay it as it explains way too much about the setting, so it's been put
way back. Assuming Sanderson keeps to one book a year and can put out a Wax/Wayne novel in addition to the 'main' novel of any given year, that means we have 16 books (9
Stormlight + 6
Mistborn +
Warbreaker II) and potentially 16 years before we get to
Dragonsteel 
And that's not counting
Elantris II which is apparently still planned for some point (possibly after the third
Stormlight book).
Impressive, though I think waiting until 2027 (at least) until we get the full story of the Shards seems hardcore. Though Sanderson will only be 52 at that point, so it should be doable.
EDIT: Whilst looking through the wikis and forums there is an interesting reference to there being a bright star cluster in Scadrial's sky (Scadrial being the
Mistborn planet). That might be important for the
Mistborn III trilogy (which will apparently involve magic-powered FTL travel to other star systems), or alternately some of the other Cosmere star systems may lie in that cluster.
EDIT2: Apparently
Sanderson originally envisaged 36 books in total for the Cosmere setting (not counting the Wax/Wayne novels, which are additions). We are currently only six books into that with a lot more to go
Edited by Werthead, 17 February 2012 - 08:26 PM.