The stories, as is probably obvious, all take place in New York City. However, this is not the New York of Raymond Chandler-esque crime fiction. This is a version of New York where identities are constantly gained, lost, and shifted. A version of New York where everyone seems just 20 pages away from insanity.
I don't want to give too much away, and I probably wouldn't be able too even if I could, but the stories all seem to intersect. Characters from the three stories may or may not interact with each other or may or may or may not assume each other's identities (its unclear). In City of Glass, the narrator (who may or my not be Phil Auster) describes a meeting between the protagonist (who is pretending to be a investigator named Phil Auster) and a writer named Phil Auster (who is different than the actual Phil Auster). Later, a character in The Locked Room assumes the identity of a fictional character introduced in City of Glass.
All and all, some very interesting reading. Maybe not recommended for a week where everything conceivable goes haywire though.