Give your players a clear objective for every session. Ideally, you want your players to all belong to one group or organization (priesthood, thieve's guild, etc.) to make this painless story-wise. Every episode of a TV show has an underlying theme and (almost always) some clear objective for the lead characters. A murder to solve, a mystery to unravel, a bounty to catch, a soul to save, etc.
Keep your objectives relatively simple. You don't need (and often can't use) plots with alot of depth, twists, and turns: it's just too much to fit into a short timespan. Usually, taking a simple goal (capture this person, steal this item) and putting it into a complex situation (stealing something on the night of a noble's party, capturing the leader of a rebel group, etc.) works best. Your players always have an idea of what they are supposed to do, but have enough of a challenge to keep things interesting.
You also want to keep your character power level fluid. Starting your players at mid-levels will make level differences less severe (level 8 and 6 opposed to level 3 and 1), relying on charged magical items or disposable gadgets instead of permanent goodies will help keep your players from hoarding too much for you too handle. If you can fit it into the plot, you could easily have the player's parent organization give them temporary gold / magic items from mission to mission (SpyCraft handles this by giving each player a point-based budget that's reset every mission).
As for multi-part episodes, character episodes, etc., that's probably something best handled at your discretion. There's nothing wrong with a two or three part episode, but try to make sure your entire group will be present from stages one to two to whatever. One of the biggest advantages of episode-based gaming is the ability for players to jump in and out rather seamlessly, don't shoot yourself in the foot by having half your party dissapear in the middle of a climactic boss fight.
Character-based episodes are a bit more dangerous. On the plus side, they can be quite entertaining for the character they are based on, and can add depth and personality to what might otherwise be a fairly shallow game. Unfortunately, they can also lead to player jealousy or one player hogging the limelight while everyone else waits. Run a character-focused session if you are certain you can keep the entire party entertained. Having the group working on a mutual goal in seperate manners could accomplish this quite well (three players infiltrate a building, the other player acts as an all-important hacker / informant / whatever, keeping the player's interests up even when it isn't their turn).
If you have the cash to spend, pick up SpyCraft, its got plenty of great systems and ideas for episodic-style gaming.
Hope that helps a bit.
