There was a time when I had played every single current title that TSR had published. At least monthly, I would go to the local bookstore, hoping that something new would have arrived on the racks. After playing The Village of Hommlet, there were years that went by that I would hope against hope that the legendary "T2: Temple of Elemental Evil" would actually be published. (It eventually was, and it was NOT what I was expecting or hoping for) Much to my chagrin, when titles did arrive, they were in no way connected to any previous titles.
Steading of the Hill Giant Chief
Well, there were exceptions. There was the Against the Giants (Actually the G series), which had their moments, followed by the "D" series and culminating in Queen of the Demonweb Pits. But these publications spanned almost a three year gap in publishing. We used to eat modules for breakfast. And lunch. And dinner. All summer long. If all this sounds greek to you, it shows you how far the game of Dungeons and Dragons has come. But the salient point is, there simply was not enough material published by one company to satisfy our rate of consumption. So we'd purhcase this module from this company, that one from that one. Add in an alternate combat and spellcasting system from someone else. You get the idea... it was all very hodge podge. The thing that kept it all together... kept all of us coming back day after day, week after week, was the campaign world. For every hour of play, I'd spend at least an equivalent hour, and would laboriously pour over these adventures, and try to weave them together with the players past experiences. Often times I would far overreach, making the stories far more complex than the players ever grasped. But the sense of richness it created was there. The world FELT real. If you went into a village, and talked to a blacksmith, he might recognize the sigil on the hilt of your sword, and an entire night might be filled spent drinking in a tavern and learning local lore from the blacksmith and his friends. They would be aware of your past deeds, and either respect or fear you, based on things you might have even forgotten you had done. Monsters weren't just faceless stats. They were famous. They had names, reputations. Earning the moniker "giant slayer" might either make you either a target, or grant you safe passage through the heartland of hulking beasts. A blow from a giant's club might be halted as one of your companions calls out a warning to you. "Stealthshadow, duck!" "'Stealfshader? The one who killt Mardok the Mountain with a single arrow? Criminy! Run!!!" (Gotta love those alternate combat systems with critical hit charts)
Where does all this take place? And why are there all these dungeons filled with treasure everywhere?
The archetypes of D&D are based in real world history, mythology, and folklore. They are also based on famous novels or movies. This presents some interesting issues. How can you have a Hobbit if you don't have a shire? How can you have a Paladin if you don't have Charlemagne? How can you have a Druid if you don't have Celts? How can you have Cathedrals if you don't have Christianity? How can you have Rangers if you don't have an Aragorn? The answers to these question result in unique campaign settings, some more satisfying than others. The closer the campaign world is to the origin of a specific class or race, the more authentic it feels for that class or race. So the campaign worlds tend to borrow, heavily from their sources.
Of course, the extreme of this is to set the campaign in a literary setting. You can campaign in Middle-earth, the Dragonlance setting, etc... While this gives the players and GMs a good familiarity with the campaign world, it can also be restricting. In a series like Dragonlance, what happens when the players do something the literary characters didn't? In Middle-earth, what happens if Frodo fails to destroy the ring?
A decent balance between disconnected episodes, and a campaign dictated by a pre-existing storyline, is exemplified in many TV shows. And honestly, the worse the show is, sometimes the better the model for a campaign world. Xena and Hercules come to mind as perfect models for campaign worlds. There's lots of action, recurring characters, and in the end, a loose progression of story.
Something like Fringe is a bit more ambitious, as it centers around an elaborate mythology. A campaign designed this way can be very rewarding, but takes a huge amount of commitment from the GM and the players. But in the end, what Fringe is really about is simple... the relationship between a Father and a Son. Don't be afraid of the big arcs... but don't forget the heart behind the story either.