Do the three form a trilogy? They certainly seem to: _The Battle of Brazil_ explains that Gilliam's trilogy is about the ages of man, and the subordination of magic to realism. Time Bandits was part one, about the fantasist as a child. Brazil was part two, the fantasist as a young man, and Baron Munchausen closes the series with its story about an old man who, through the innocence and open mindedness of a small girl, regains his belief in magic. Both Time Bandits and Brazil have bleak endings, but Baron Munchausen shows the final triumph of this sort of magic through fantasy, as Munchausen circumvents the reality of his death in his own tall tales, achieving immortality through his storytelling.
Considering that Gilliam was on record calling Baron Munchausen the third in the trilogy before production on Munchausen began, it is definite that even if Gilliam was not thinking of making a trilogy as he wrote and filmed Time Bandits and Brazil, he certainly considered them that at the end, and made Baron Munchausen with that in mind.
Gilliam often compares himself with the protagonists in his films,
and the main characters in Time Bandits, Brazil and Munchausen
can all be considered representations of Gilliam himself during various stages of his life.
Both Brazil and Munchausen's plots and themes echo the events
surrounding the making of those films, so at the very least the films can be viewed
as a loose cinematic interpretation of however Terry Gilliam was feeling at the stage
in his life when he wrote those films.
Neither of the later films, The Fisher King or 12 Monkeys were written by Terry Gilliam, and while they continue with his common theme of merging fantasy with reality (and the difficulty in determining which of the two is more truthful), they cannot be considered the autobiographical statements that his previous three films appear to be. Gilliam has co-written and filmed Hunter S. Thompson's Fear and Loathing in Las Vegas and is still working on The Defective Detective.