The Elric saga
by Michael Moorcock.
This saga division is so complicated, I myself am not sure when to read what.
See description under link for details.
But it does fit with demand of continuous story I think.
The Dark Tower Series
by Stephen King.
The Saga of Recluce
Beginning with a short story appearing in The Magazine of Fantasy and Science Fiction in 1978, the publication of Stephen King's epic work of fantasy -- what he considers to be a single long novel and his magnum opus -- has spanned a quarter of a century.
by L.E. Modesitt Jr.
Individual stories novel, but longer series.