About a year ago I started an attempt to read through *most* of P. G. Wodehouse. I'd figured out, from what I'd already read and from checking wikipedia, that a big chunk of what he wrote is loosely in continuity. Any time he reused a character or a setting in more than one story, that story is in continuity with every *other* such occasion. I'm about a quarter of the way through that mass of interconnected stories now, and it's turned out to be one of the best reading choices I've ever made.
@Ipsifendus I've never approached Wodehouse in order (partly because the stuff before his general stylistic shift around the time of WW1 does not usually appeal to me as much), but I enjoy the richness of the continuity too - although there are, of course, some disconnects, most notably Lord Worplesdon seeming to have two entirely separate lives.
@howfar Yeah, the occasional error is always amusing. But they occur even within an individual series. E.g. it's kind of difficult to say with any certainty what Psmith's first name is.
@Ipsifendus Yes. It has been suggested that particular change is to avoid confusion with the Efficient Baxter. And, of course, there are issues with the way that the fictional timeline runs against the real one - e.g. Ring for Jeeves seems to take place in postwar Britain. I prefer the attitude that Wodehouse eventually adopted (in response to his critics, who would hiss "Edwardian" despite its notable lack of a sibilant), that he was writing, in later years, historical fiction.