Here's a term I did not know I did not know : Roman-fleuve
I came across the term while browsing Nancy Pearl's Book Lust. She groups her reading recommendation into little chunks and one such chunk was under the heading roman-fleuve.
[Quote Wiki] A roman-fleuve (French, literally "river-novel") refers to an extended sequence of novels of which the whole acts as a commentary for a society or an epoch, and which continually deals with a central character, community or a saga within a family. The river metaphor implies a steady, broad dynamic lending itself to a perspective. Each volume makes up a complete novel by itself, but the entire cycle exhibits unifying characteristics.
Nancy adds that in such novels the sum of the total narrative experience is greater than its individual parts, and no one novel is self contained. As opposed to sets with same characters but standalone stories per novel, for example mystery novels featuring the same central detective character.
The term roman-fleuve was first used for books by Marcel Proust, but more familiar to most of us would be The Lord of the Rings set by J.R.R. Tolkien. Even if you've never read the books, you would be familiar with the concept having to watch all 3 movies to get the full story.
Time to get started on my Philip Pullman His Dark Materials roman-fleuve. And re-read Harry Potter back to back, now that the whole set is out.