Let's see. Way back when during 1E and 2E, I never really linked Krynn to other worlds, nor did we allow much in the way of plane-hopping in our DragonLance games - just didn't fit the feel. The exception is when we very first started the DL modules, we played our own characters rather than the pregenned group, and they came from Greyhawk on a one-way trip.
Travel between FR and Greyhawk was possible, but not well defined, it basically happened on DM whim. For the most part, we found there was enough stuff within those settings that we didn't have to mix them, and most of the time when a DM (mostly me) wanted an alternate world, he wanted something farther afield then just the other standard D&D setting.
Similarly, when we played Spelljammer, we concentrated on the spacegoing stuff and more or less ignored any of the established worlds. We never had a rule that they weren't connected, but that connection never played any kind of role that I can remember. Ditto Planescape, though I didn't play that as much - the action was on the outer planes, we didn't specify or care exactly which primes were connected.
Nowadays, my campaigns are almost always homebrews. I steal whatever parts of Greyhawk, FR, or anything else appeal to me, but I don't specifically place them anywhere in my cosmology. Just like the old days, if I need an alternate world, I figure I should use something REALLY different, and the relatively standard worlds don't cut it.