Not everything I write takes place in the same universe, where the same rules apply, the same creatures roam. But a lot of my stuff does, and in fact I’ve been doing vague crossovers more and more. I’ve written three stories about Wyrmen, winged humans that may be the source of myths about angels who were once connected to the Arthurian legends (“The Wyrmen,” Aoife’s Kiss, March 2011; “Le Bel Homme Sans Confiance,” Iron Bound, June 2011; and “But I Love Her,” The Fringe, January 2011). Though they haven’t been published yet, I’ve also written two novels about a team of parapsychologically gifted private investigators (Blood Makes Noise and The Wraithmaker). A character who only appears in the former has his backstory told in “Christmas Wrapping” (Curiosities and Creatures, 2012). The city in which all three of these pieces is set is also the same setting as The Red Eye, my novel about a dragon slayer, though none of the characters from Blood Makes Noise and The Wraithmaker appear in Red Eye and vice versa.
This is an approach many other writers take. It’s easier to think of most of your body of work as being vaguely held together by a unifying theme, even if you don’t necessarily assume that a character from one work could ostensibly bump into a character from another work. Still, I do drop little hints and Easter eggs here and there, much like how Oceanic Airlines shows up in several different J.J. Abrams properties.
The benefit of being even more integrated in one’s universe is that rules are consistent. If there is magic in one story and you want it to be set in the same world as another story, then you don’t need to reinvent the wheel. The downside of that approach is that then you don’t get to reinvent the wheel. It really depends how much you want to put into worldbuilding every time you set out.