Episodic sounds exciting. There's more room for drama if you can find various ways to link things together. If you add subtle common factors between the campaigns, you can create overarching subplots that could lead towards dramatic revelations. For instance, I once watched a series of campaigns where the GM added a pair of researchers who would leave notes that would help the characters along on their quests. These wouldn't appear in every game, mind you, just a few of the ones that involved ancient ruins, so after a while, the characters began asking around among NPCs if they'd ever heard of these guys, wondering who they were. This continued on for a while, and over time, the tone of the notes began to change. As one might expect, they began to sound suspicious, and eventually sinister, up to the point at which the next campaign got put on hold in order to track these guys down once and for all.
When they finally catch up, it turns out that they've come to a place at the central point between all the locations they found the notes at, and they arrive just in time to get monologued by one of the researchers, actually cultists of a certain aspect of Obad-Hai. They're told that by killing the enemies that had been infesting the ruins they'd already gone to, they'd unwittingly created these sort of Fullmetal Alchemist style crests of blood (The DM called them geist seals) in each of those locations, and had made it possible for them to summon an aspect of Obad-Hai that had been spiritually merged with the demons that were being worshiped in the ruins they'd looted. It was very exciting. I just wish that I'd been able to actually play it.