Essentially there were four tricks shown..
The rabbit trick, the bubble trick, the card throwing and the hypnotism.
Now these aren't connected to each other but they are connected to things that happen later on in the movie. They are clues and foreshadowing of things to come.
We are the ones being told that they are connected to later events we will see in the movie...not the theatre audience.
The Rabbit Trick
The trick here isn't the rabbit...it's the mirror box used to hide the rabbit inside the box.
A much larger version of this box is used to hide the giant vault in the warehouse.
The Bubble Trick
This is about invisible wires which the Horsemen use to escape from the theatre a few minutes later.
The Card Throwing
Having demonstrated his dexterity in the magic act, Jack Wilder again uses card throwing as part of his 'escape' from the FBI as they storm the apartment building later.
This is used a couple of times in the movie, firstly to create the 'football team' of audience members to sack the 'quarterback' FBI agent and again later to hypnotise another FBI agent into authorising the supposed moving of the vault.