A lot of good advice here, but as someone who cant
finish a campaign and seems to only be able to think in long (or "epic") terms, I thought I might be able to add something, or at least repeat what is already posted

...by writting what turned into a huge post...
The flexible metaplot with built in intermediate goals: start with something that will finish soon enough, but have some ideas on what it will link to, knowning that some details will be unknown. This may sound hard, but in fact it means you don't have to plan out every detail, and can "fake it" as you go along up to a point (but see below). At the same time though, if you do have something planned and want to do, then hook the PCs in and do it.
The long running threads: valuable items, locations, hostile and freindly NPCs...these can all be used to help the campaign hang together, but again, stay flexible
plot-weaving through time work new stuff in and old stuff out. Little things grow in importance, and old things get resolved. Of course, little things can stay little, and old things can come back. Plot weaving also helps as unexpected developments come along...
charecter advancement: if the players think that the only way to get high level charecters is to keep playing, you can hold their interest. And people tend to get attached to charecters...but this can be a problem if, say, they die. Also be ready for...
the changing power level: essentially, the campaign is constantly refreshing itself as new kinds of challenges (or at least monsters) have to be overcome. This helps keep it fresh, but makes DMing more challenging, though that isn't always bad. You also have to think about "advancing" NPCs...
disasters: and then the loved PC is disentegrated, or even worse the key NPC is disintigrated...or the whole party is disintigrated. These can be bummers, and that is the problem. You can always make new charecters, and can make ones litterally or figuretively related to the originals (and ones that are just about as good). You can always adjust you metaplot. But you will have to deal with hurt feelings, perhaps including your own.
changes smaller then disasters...but people are going to move away, new people might be interested in playing, and you might get really sick of what you had planned, or just decide to do something different. You don't have to restart the campaign, but again just be ready for changes....and remember they are good things, because they also keep the campaign fresh.
consistency so how do you pull all this off? One key is maintaining internal consistency in the campaign. A lot will be happening, not all of it according to plan. Take notes and review them. Make the world
seem relatively coherent...or at least as coherent as you can.
support don't go it alone. Use supplements, modules, Dungeon and Dragon, Enworld. There is nothing wrong with a campaign that is a series of modules or a mega module. And there is nothing wrong porting modules into an ongoing campaign, even if they are a little tangental...
keeping it fresh and summing up Now that I have written all that, the basic idea is simple. The things that can be problems in a long running campaign like charecter turnover, the DM shifting the focus (or needing to shift the focus to prevent boredome), or the change in the power level, are
also the things that keep it fresh. Your job is really to adopt the developing story to make it seem as if all this stuff really fits together.