As was already said, Planescape and Spelljammer were written to be D&D crossover settings, and Ravenloft had lots of crossover opportunities.
A world-spanning crossover setting is the default setting of Gurps 4th Edition. A world-crossover setting was one of several included in the d20 Future expansion for d20 Modern.
Not every campaign is meant to cross over. One of the most fun long-running D&D games I ever ran was a quasi-historic game set in the 1190's with PC's participating in the Third Crusade. PC's had to be human, obviously, and magic was sharply restricted. Someone asked to join my D&D game, and said he was going to play a Lawful Evil Elven Fighter/Mage/Thief and demanded to also roll for wild talents (it was when 2e was the current edition).
I explained to him that the game was a more-or-less historic game, so there were no elves, mages or psionics, and I don't allow Evil PC's. He first tried to rationalize it as a planewalker that arrived on Earth by mistake, and I vetoed it as the game had it's own planar cosmology other than the Great Wheel, and then tried to say it was a spelljammer crewman who had been accidentally marooned, and I said the world was not in the Spelljammer cosmology and there are no spelljammers in the setting. Despite his protests that they are "official D&D options, so you have to allow them in every game!" I told him that they were not allowed in that campaign. I didn't really want him in my campaign, but I really didn't want the character he was going to create.