Yep... the character of Capt. Jack is seen heading towards the sound of the Tardis at the end of Series 1 of Torchwood and is then seen again in Series 3 of Dr. Who. The upcoming Series 2 of Torchwood then picks up the character again as he leaves the company of the Dr. to rejoin Torchwood. At least one of the Who companions also then shows up briefly on Torchwood.Dr. Who (the new version) is through three seasons now. All are worth watching...I used to be a Baker fan in the old days, but the new show is better. Jack does a stint on the show in season one, so that will give you a little background on his Torchwood character, and there's another big story arc with him in season 3. I think Kevin is saying to watch season 3 of Dr. Who before season 2 of Torchwood, but I'd watch all three in order. It will make more sense that way.
Torchwood Season one is coming out on DVD in the states next Tuesday, and I'm Netflixing it.