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.
Quote:
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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.
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The Saga of Recluce by L.E. Modesitt Jr.
Individual stories novel, but longer series.