I've always linked published adventures also. In fact, I almost exclusively use published adventures. No doubt players can go off on tangents, but I agree with Stereofm, the trick is to have a lot of old DUNGEON magazines (or a ton of published adventures). If you know what's in each of them, then when the players say, "We're going off to investigate the Frost Giant's contact among the southern slavers," you know that Module X in issue Y has nice maps and NPCs that will serve as a slaver's fort.
Some specific examples from my recent campaign follow. They're high-level, so I'm not sure if they'll help a ton. But I did the same thing when the players were at a lower level:
The players had just finished penning up the Set Rahotep, the would-be Set-On-Earth, in his own tomb in Khemit (using a very abbreviated version of Gary Gygax and Necromancer Games's _Necropolis_). Khemit was placed in our world south of the land of Guadalante, which the players knew quite well from way back in the day (July 2000 or so) going through Lance Hawvermale's "Fortune Favors the Dead" from Dungeon #??. When they got back, they found that a white dragon had been making trouble back in their northern lands and was allying with a dracolich that they stirred up in Khemit. The white dragon was Accessiwal from "Glacier Season" in Dungeon #??, and the dracolich was shipping his forces up North from Khemit in big ships. The players also had many other things on their plate: a recurring enemy succubus is preparing an army of githyanki on the astral plane (she's the succubus Thurra from another Dungeon mag adventure, don't remember the title, I think the tag line was "Hell Hath No Fury," or maybe that was the title), plus there is a huge power vacuum in the south created by the collapse into madness of the Father of Obedience and his Scarlet Brotherhood (yep, love those guys so much I ripped them right out of Greyhawk). Anyway, I had modules prepared for the party to go in any of those directions. They chose to go thwart the dracolich's flotilla of troops, so I pulled out a module I knew was all about attacking ships, "Strike on the Rabid Dawn" from Dungeon 111 (actually, that was when we playtested it). I just changed some of the NPC dialog from Asmodeus to Set, and they it was set to go (sorry about the pun). Then after they did that, they wanted help attacking the white dragon and went to get Bazim-Gorag free from his prison in "Prison of the FlameBringer" in Dungeon #??. They decided that was a bad idea, abandoned it halfway through, and finally went through Glacier Season. They slew the white dragon, but the dracolich escaped. They've heard rumors of his phylactery being in the Bone Garden, so that is where they are now (Bonegarden from Necromancer Games).
Whew. Sorry for the ramble. But that's basically how we link things together, with frequent stops in their hometown/home area for business, checking up on the guilds/temples/tribes the run, checking for new threats, etc.