One of the big dilemmas that face most hour-long dramas (and especially genre dramas, like sci-fi or fantasy shows) is the balance between stand-alone episodes and continual story arcs. On the one hand, multi-episode plotlines can leave longtime viewers in suspense, and often give writers great freedom. The best example of a show like this is "24," where the events of an episode in the middle of a season (or, indeed, an entire season) are difficult to understand without a lot of introduction.
On the other hand, a series consisting of mostly stand-alone episodes has an easier time drawing in new viewers and keeping them, as missing a few episodes isn't fatal to someone's enjoyment of future episodes. This is by far the most common way to write a TV show - everything from "The X-Files" to "Knight Rider" uses this format, perhaps with the occasional two-parter or mythology show thrown in. At its worst, though, this format can lead to "Monster of the Week" syndrome.
A relatively rare few shows abandon any pretense of continuity, such as "Aeon Flux" (as seen below) or "The Prisoner." Often it's easy to watch episodes completely out of their actual broadcast order. It's an interesting concept, but it definitely runs counter to the intuitive human understanding of time.