The only connection is the concept. The movies (Ghost in the Shell and Ghost in the Shell: Innocence) tell one story involving the characters and the show is another take on the same concept.
(For you comic readers out there, it's like the 616 and Ultimate series over at Marvel)
There is a third "Ghost in the Shell" movie ("Solid State Society"), but it is a follow-up to the show, not the first two movies.