Sanderson has said zahel = vasher in a Q/A and that basically stormlight can sustain him like a breath can. Sanderson has 37 books planned that are in the same cosmere. Elantris, Warbreaker, Mistborn trilogy and the stormlight archives all take place in it. There are 3 realms of the cosmere, the physical, the cognitive and the spiritual.
You can read about it here, Lots of spoilers of other books
Cosmere 101 - Cosmere Theories - 17th Shard Forums
Essentially a long time ago, there was the power of creation, called Adonalsium. It was shattered in 16 shards that each a facet of creation. These shards were taken up by people, the shard bends the holder to its intent. On the warbreaker world, while you never directly see the shard, it is endowment. On Roshar, there are 3 shards in play, Honor, Cultivation and Hate. A shard can be shattered, which causes certain problems, also a shard holder can be killed but the shard left intact and someone else can pick up the shard. In Elantris there are two shards as well, Devotion and Dominion. In Mistborn there are two, Preservation and Ruin. For the early books, its mostly easter egg stuff, Stormlight Archives he has started to delve more into shards and the cosmere as a whole.
Hoid is a worldhopper, he has been in every cosmere book. He is not a shardholder but was there when Adonalsium was shattered. It is not known yet, how people world hop. There are others as well. Obviously Vasher. You might remember an interlude in the first stormlight book, several people in purelake looking for Hoid, those were worldhoppers, one from Elantris world and one from the Mistborn world.
As far as what happened to the Princess, I'm guessing we will find out in the sequel. Vasher is essentially immortal because of his divine breath, as long as he gets a breath a week to live. Timeline wise, it goes elantris, then warbreaker, then mistborn and the way of kings is suppose to be several hundred years after the events of mistborn