I've been thinking about worlds and settings. I tend to see all my stories as linked, but there are some that are more obviously part of a linked tale. Slow and Ache and Porcelain Salli are set in the same universe (as is the novella I'm working on for a certain project) and I did try my hand at a heroic fantasy sequence (and in the end it was too close, and far, far inferior, to Fritz Leiber for my liking) but that's about it for me.
That doesn't mean I don't enjoy reading writers that keep returning to a particular setting. I love Ben Peek's Red Sun stories for instance, and I adore Marrianne De Pierres Straddie stories. Then, of course, there's Fritz Leiber's Nehwon stories, and Jeff Vandermeer's tales of Ambergris.
All of these are places I like to inhabit occasionally, and all of them are works that are greater than the sum of their parts (and I love the parts, believe me). Perhaps that's the chief requirement and challenge of a series. A challenge ably met by all of these authors.