Or, as it's more accurately known, the Psi-Powers Collection Of Disconnected Books With Vague Shoehorned Links. Christmas on a Rational Planet introduces the Shadow Directory... who stand on the sidelines in The Death of Art and never return again. The Death of Art introduces the Brotherhood, but you've got to be concentrating to notice. Damaged Goods introduces the N-forms. None of these books picks up someone else's plot elements for more than a cameo appearance.
Only in So Vile a Sin do we get a book that's clearly built around what went before. The N-forms inspire its best material, while the Brotherhood (to my astonishment) are revealed not to be a useless bunch of sad acts but actually quite dangerous and influential.
Advice to anyone rereading the Psi-Powers Non-Arc: don't read 'em in the published order. Forget Christmas on a Rational Planet entirely. It's fun, but a waste of time arc-wise. Start with The Death of Art and Damaged Goods, then jump back to Sleepy before finishing with So Vile a Sin. Basically you'll be following the Brotherhood's timeline, not the Doctor's. That way the Brotherhood should build up nicely from weirdos to shadowy manipulators up to their final incarnations as kingmakers and reality-mongers.
As for the books themselves... Christmas on a Rational Planet and The Death of Art are clever and well written, but monstrously confusing. Sleepy and Return of the Living Dad are candyfloss, but the latter isn't part of the arc (just published in the middle of it). Damaged Goods is a tragic sordid masterpiece and So Vile a Sin is a magnificent, meandering mess. The arc was all too obviously constructed around unrelated random submissions, but nothing that contains Damaged Goods can be all bad. You could read worse.