*Warning: This post includes minor spoilers from the adventure path modules*
Here's what I did for my campaign:
I wanted to use the Adventure Path modules, but as I both dislike high level play and the fast leveling of 3e, I just got the first 4 modules and intersected them with freebies from WotC, thus drawing out play at each level.
For this purpose, I made a campaign world and drew a map, placing the various adventure locations in appropriate terrains. I also placed them in a way so the party would be inclined to come upon the locations 'in the right order'.
For instance, at first level the party is send by the sheriff of their hometown, to sit in on the peacetalks between the villagers and barbarians in The Village of Camiram. Their way to the village takes them through a mountain pass town, where they learn that the local mine is suffering from a plague outbreak, making The Burning Plague their first adventure (as they took the hook).
Deciding up front which modules I want to include and which I just consider optional, makes it possible to create a world where I can drop hints and hooks about several adventure locations, hopefully giving the players a real sense of choice.
Here's the order I'm planning of running the adventures: (WotC means it's a freebie from their site. AP means Adventure Path module.)
The Burning Plague, WotC. Was optional
The Village of Camiram, WotC (from their 'Cliffhangers' series, I believe)
The Sunless Citadel, AP #1
The Ettin's Riddle, WotC
The Hallowed Hills, WotC (also from 'Cliffhangers' I think). Was optional
The Forge of Fury, AP #2 (where they currently are)
Base of Operations, WotC. Optional
The Alchemist's Eyrie, WotC
Lorin's Chasm, WotC 'Cliffhangers'. Optional
One Last Riddle, WotC. Optional
The Speaker in Dreams, AP #3
The Hand of the Highwayman, WotC
Nest of Corruption, WotC. Optional
The Standing Stone, AP #4
Also, knowing which module they'll be put through at later levels makes it possible to flesh the world out in greater detail, by introducing elements that won't have any real importance until much later.
Examples: In the Village of Camiram, there was a festival where the party's bard competed against another bard called the 'Cuckoo'. Much later they'll encounter him again in Ossington, learning that he's actually a Vrock. (In 'The Standing Stone').
The party has also, on several occasions, encountered a hermit - Crazy Sam - near the village they all hail from. He has provided some valuable advice as a thank you for some food and gold the party gave him, when they found him begging on the outskirts of their village. Some of the party members have even begun to suspect some relation between Sam and that scruffy looking dog they've also seen on occasion, watching them from afar. (Crazy Sam is actually a Hound Archon named Zaphael, send by Pelor to keep an eye on the party. He may reveal himself if the party turns out to be in over their heads fighting the defilers of the Pelor temple in 'Speaker in Dreams' or the Vrock in 'Standing Stone'.)
The party has also been to Brindinford already, where 'Speaker in Dreams' takes place. Here the party's cleric was witness to how the tithes collected from Pelor temples throughout the region is being used to build a golden dome for Brindinford's temple. This dome will later be shattered in 'Speaker in Dreams'.
Etc.
Besides these tie-ins, I've also written an overarching plot, that deals with the history of the world they live in. With clues spread out through the modules as to where the humans originally came from, how the orcs where created and why exactly Orcus is their god.
Unfortunately, my group is currently taking a break. But writing this campaign walk-through makes me want to get back to playing!