Maybe not truly episodic, but Michael A. Stackpole organizes
The Chain Story. Short fiction by many different talented writers that is loosely tied together by the fact that all of the stories are "told" by the various patrons of the fictional
Wanderers Club.
The stories themselves are on the various author's websites but Stackpole maintains the "hub" where the overall
table of contents (and links to the stories) can be found.