This isn't a trilogy in the usual sense. The three novels are completely different stories, but they are thematically and stylistically similar and it makes sense to read them together, since they do have vague connections in the end. There are recurring names, but they're not the same people. Just names.
The stories start off as fairly straightforward detective noir, but the surreal quality and postmodern touches definitely build with each installment. I enjoyed these books quite a bit, as reflected by my rating, but I'm not sure I understood it all, especially near the end. This one will probably be worth a re-read eventually.