Robert E. Howard does it (the Ring of Set turns up in tales all through time)
Stephen King does it (The Dark Tower saga)
And I love the concept so much that while I have thought on it at length (already in my own mind some of my tales do connect in the same universe) I have yet only briefly mentioned points that touch.
But in the current tale I am working on, Cold Slither - a weird western with Porter Rockwell, it directly relates to another project The Bastard Prince an adventure historical that is itself very loosely based on the Welsh Prince Madoc ~ (and how I think Conan of the Isles should have been done) and if you read between the lines they link to Heroes of the Fallen/Blood of Our Fathers.
I never planned it that way, it just came about~but I have to admit that when I realized it was doing that on its own (the Muse, as Steven Pressfield calls it) I was excited.
While I am sure that some of my tales will never tie in to anything else, these in particular are beginning to weave together and its just something I as the creator/writer enjoy.
How about you?