This is a rather large question, and so I am only going to be able to point out a few common themes between these plays. I have included some links below to the themes section of the enotes study guides for three of these plays that should help you further as you think through the various themes indicated.
One clear theme that is pertinent to at least three of these plays is that of old age and diminished faculties. Lear has to come to terms with his decline in power and faculties, Prospero has to relinquish his magic as he returns to politics and Shylock is forced to recant his faith and give up his wealth. This is perhaps most pertinent in the case of Lear, but you could easily compare these three characters across the plays from this perspective.
Another issue that is relevant is the way in which all the plays concern relationships between fathers and their daughters. Consider Lear and his three daughters, Shylock and Jessica, Desdemona and her father and Prospero and Miranda. You might like to explore the different kinds of relationships that are presented and whether the examples are "good," "bad," or more nuanced than this.
Race and ethnicity would be another interesting topic that is definitely relevant to at least three of the plays. Consider the treatment of Caliban and then compare that to how Othello is treated and then the discrimination that Shylock experiences.
Hopefully these three ideas will get you started in thinking about the similarities between these plays. Have a look at the links below to explore them further. Good luck!