Incidentally, I ask because I'm trying to recapture that youthful sense of wonder in RPGs (for me). I've finally realized that part of what's missing is open-ended campaign expansion. Let me explain. . .
Way back when, in the days when D&D was a lone box set and Runequest was a single rulebook, settings were implied. The expectation of adherance to canon didn't exist because there wasn't much of it -- Bob's land of Greyhawk might be entirely different than Bill's, save for the minor details disclosed in the original Gazetteer and the three D&D core rule books. The first look at Glorantha came via Apple Valley and Snakepipe Hollow -- there was no all-encompassing body of setting material and, again, Jill's Glorantha was almost certanly nothing like the world that Greg Stafford would reveal in the years to come. Even the FR 1e material was painted in extremely broad strokes, with plenty of map left to fill in as one saw fit.
While it's true that today one can simply ignore the massive collections of setting canon that have since been published for worlds such as Glorantha or Faerun, the expectation seems to exist that the DM won't. Indeed, settings have a market presence of their own because many gamers want to have every last setting detail fed to them in print. Now, I know that sounds petty but if that desire didn't exist, neither would the market for setting product lines. Whether this desire came about as a marketing push for setting material on the part of publishers or vice-versa, I'm not entirely certain.
What I am certain of is that this "official continuity or none at all" mindest that seems to have become increasingly prevalent in my recent attempts to organize games is sucking much fun out of gaming for me. That players want me to buy, read, and adhere to all official canon for massive products lines such as FR is extremely off-putting. I hunger for the days of settings as backdrops for adventure, as opposed to hobbies in and of themselves. I hunger for the days of many Greyhawks and Gloranthas.