For fluff:
Actually, the final episode of Outer Limits was a two-part clip reel job. It tied in a few of the time travel episodes as well as some futuristic episodes. It all had to do with the "Can man mature fast enough to handle his own creations" theme, which came off more like Luddites vs. Technophiles.
So, perhaps the first bit is to settle on a theme, a X vs. Y debate or a certain motif that will flavor the stories every week.
With that in mind, you might want to also steal some ideas from book anthologies on how some of them tie in disparte stories (and characters) under one cover if you hanker for some continuity. The most common device is to link the stories to a location, organization, vehicle or event.
Some examples:
Location: Thevies World Anthology
Event: Wild Cards Anthology
Vehicle: The old d6 Star Wars Darkstryder campiagn
For Game rules:
To have a truly "anthology" feel to the set up, you need to find a way for your group to play different characters almost every week (and those differing characters need to share the overall link to the campaign as well.)
Some ways to meet this challenge may be:
"Troupe" play -- Each Player make as many PCs as there are players, each week, he rotates to another PC until he uses them up and he can go back to the first one (if it didn't die in the game)
Archetype Play -- The PC is a represenation of an eternal archetype (or cliche). His name and personality may change every game, but the stats stay the same. Death just stops the player from garnering any additonal XP from the session, otherwise he'll be back next week. You could also give a "zombie" reward for those who offer to roleplaying being Living Dead zombies and the like for the rest of the rest of the session.
Mook Play -- Find a way to generate new PCs fast and easy so you can cut down on creation time every game session and then get into the game (if you anticipate a high death count and low player attachement, this is a decent choice.)
Cast Play -- You hand out pre-gens every game session.
