Mmm yes, gets called a series for want of a better word. I think I have seen "From the world of..." on the covers of books, but there is no neat one worder for it.
The first two Chalion books are chronological but not exactly a series. Curse of Chalion is focussed on the tutor to a girl, and is telling his story and the girl's (trying not to write a spoiler). Paladin of Souls follows up what happens to girl's mother and is I think several years later. Both excellent stories.
It would be interesting to see more done like this - so instead of slow moving mult-threader - the story is told one complete book/thread at a time. (Maybe not a complete thread when really intertwined, but something done more separated rather than all threads in one pot.) Writer would have to do one heck of a lot of advanced planning though to keep it all together
