Over the past few years there has been a resurgence in the megadungeon and sandbox styles of play, and this has been great. Real Old School stuff right there. What I'm going to suggest evolves from the old ways, invites the new, and stirs it all together like some mutant goulash. This has probably been done before and I'm okay with that, but it's kinda new for me – maybe you too.
The Megacampaign is the attempt at creating a truly persistent world for your players, where multiple campaign/adventure paths are happening at once (or similarly close in execution.) There are cross over themes, NPCs, rumors, encounters, locations and possibly even the same endgame if there's one maniacally plotting Big Bad– though that need not be necessary. What one group of characters do could possibly affect what a different group of character may experience depending on what they do and/or where they go.
My Forgotten Realms game is such a persistent world, or Megacampaign. What I've done is create an outline of adventure paths that would be fun to play out. Then look at how they might relate to one another by DM interference – or rumors of activity in the world/region – location in relationship to one another, and consequences of PC interaction or indifference. Once you pretty much have an idea where things are going, have the players roll characters to go on these adventures. Players ALWAYS are coming up with all kinds of ideas for characters to play, so this probably won't be a problem.
During play, take notes. LOTS of notes. And keep a close eye on time passage in each adventure so as to coordinate events in the world. The name of the game is persistent world, so if your world doesn't have a calender, invent one.
What's really cool about this is, you embrace the sandbox, you can have as many or as few megadungeons as you want, and you get a variety of stories from the same campaign world/region that help bring your game to life as never before.
Players are encouraged to create characters that might be related to one another as siblings or friends, as this also draws the world together. A cool side effect of this style of play is it is entirely possible for two (or more) groups to directly interact depending on where they go.
Each series of accounts of play here at OUTLAW D&D are being done this way … and there is much more to come. We like a lot of variety in our gaming, and like I said; we got a lot of character ideas we want to bring to life. Both Wizards of the Coast and old TSR have a ton of great adventure modules and, as a DM, I will not be beholden to anyone's sense of canon except my own. In order to facilitate this and have it all make sense to my players, I recall something Ed Greenwood said about magic in the Forgotten Realms, that there are all kinds of different magic available in the Realms. This got me thinking about chronomancy – and how it's careless usage, even in small doses, might affect a world.
Essentially, dates for published adventures are converted to our standard date and where paradoxes occur, a DM's ruling on the event/npc/whatever can be used to smooth things into a consistent timeline. Simple, right?
Events that are unpopular with our group, particularly the old Time of Troubles storyline, are simply stated as to not have happened and certain gods never came to power and certain gods never died. The DM should look at these decisions carefully and project the long term effects of such rulings, however. The bulk of the timeline stuff that we are playing is modern and some events of the canon past are still said to have happened; for the most part these changes in dates really haven't affected a lot of paradoxes in our game, yet.
Anyways, it is my hope that this idea has settled well in your imagination because, let me tell you – I have run singular campaigns before and felt the satisfaction of what I thought was bringing a world to life with my players … The Megacampaign is like that on super mega drugs or something … it's way better and way more satisfying …
… of course, as always … YMMV.