  Partially motivated by the desire to better understand the connectivity phase
transition in fractal percolation, we introduce and study a class of continuum
fractal percolation models in dimension d greater than or equal to 2. These
include a scale invariant version of the classical (Poisson) Boolean model of
stochastic geometry and (for d=2) the Brownian loop soup introduced by Lawler
and Werner. The models lead to random fractal sets whose connectivity
properties depend on a parameter lambda. In this paper we mainly study the
transition between a phase where the random fractal sets are totally
disconnected and a phase where they contain connected components larger than
one point. In particular, we show that there are connected components larger
than one point at the unique value of lambda that separates the two phases
(called the critical point). We prove that such a behavior occurs also in
Mandelbrot's fractal percolation in all dimensions d greater than or equal to
2. Our results show that it is a generic feature, independent of the dimension
or the precise definition of the model, and is essentially a consequence of
scale invariance alone. Furthermore, for d=2 we prove that the presence of
connected components larger than one point implies the presence of a unique,
unbounded, connected component.
