I agree with you Karsten. It all depends on the series. Some series (The Simpsons, Futurama, Star Trek) are basically a series of sequel. Each episode telling a single story while still acknowledging the back story.
On the other hand, things like Smallville, Lost, Heroes, 24, etc are all one long story.
There's even example of series where the type changes. Lexx is basically a series of episode in seasons 1 and 2, then the third season becomes 1 long movie, then season 4 is b ack to sequel format.
Same thing with Enterprise. Seasons 1 and 2 are sequels, season 3 is a single long movie (the Xindi arc), and season 4 is back to sequel format.
Nothing is ever easy in the land of motion images entertainment