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Many human activities now take place in settings that include several computational devices---such as desktop computers, laptops, and mobile phones---in the same physical space. However, we lack interaction paradigms that support a coherent experience across these collocated technologies and enable them to work effectively as systems. This article presents a conceptual framework for building richly connected systems of collocated devices, and offers two implemented examples of interactive virtual worlds built on this framework. Aspects of this framework include multiple channels of real and apparent connectivity among devices: for example, multiple kinds of data networking, cross-device graphics and sound, and embodied mobile agents that inhabit the multi-device system. In addition, integration of the system with the physical world helps bridge the gap between devices. We evaluate the framework in terms of the types of user experiences afforded and enabled by the implemented systems. We also present a number of lessons learned from this evaluation regarding how to develop richly connected systems using heterogeneous devices, as well as the expectations that users bring to this kind of system. The core contribution of this paper is a novel framework for collocated multi-device systems; by presenting this framework, this paper lays the groundwork for a wide range of potential applications.