All the worlds are thought to have been originally one; when history reaches a major turning-point that could go either way, it splits into two. (Only very significant events that divert the entire course of history will do it, otherwise there would be many more worlds about.)
Worlds are arranged into groups, called "series", with other worlds that they are most related to; twelve series make up the Related Worlds. For some reason, each series contains nine worlds - except Series Eleven, which contains only one.
Worlds in the same series tend to share fundamental features such as geography (for instance, worlds in Series Seven are all more mountainous than usual, while the worlds in Series Five contain multitudes of islands and no large landmasses) and gods (Asheth is worshipped in more than one world of Series Ten, and every world we've seen of Series Twelve contains a version of the Church of England).
Worlds in the same series tend to share people, too: often duplicates of a person will exist in every world of a series. On the other hand, it is much rarer - although not completely unheard-of - for a person to be duplicated outside his or her own series.
It should be noted that there are hundreds of worlds altogether, and the Related Worlds make up only a small group which relate to each other through shared history and language. Few if any people from the Related Worlds venture into unrelated worlds, however, so nothing much is known about them.