Remember Raiders of the Lost Ark? The whole thing starts with Indy going to find the headpiece to the staff of Ra, something his buddy Abner Ravenwood had already found. So the biggest adventure ever starts by going back to something that was already found.
The more I think about this, the more I love it! So the party goes and raids a pyramid in order to wipe out the undead that have been messing up the neighborhood - normal stuff. Inside they find a helmet/head piece with some cheaper rubies in it, along with other fantastic mummy jewelry. The party does what? They sell it as loot, even if the rubies are low value. Four missions later, a guy comes into the bar to hire the party: I understand you are the group that raided the pyramid. I need you to help me find the lost temple of some god, but the only way to do it is to have someone wear the helmet and cast a relatively normal spell. You still have the helmet, right?
Of course they don’t! Now they have to go back through their fences and remember who they sold the helmet to. What if he passed it on? What if they started dismantling it? What if they forget where it went? This only works if you as GM have a semi-decent idea of who they sell their stuff to, and what they do around the city between adventures, and other things along these lines. But that’s the point - You get to start with an urban adventure and then move into the lost temple mission.
This is just one example of using an item to link adventures. I don’t think the linking item should be a mundane thing. It would have to be something reasonably unique. Might even be historic, so the fence may sell it to a museum for huge money - vastly more than the party received. Obviously the specifics in this post aren’t important, but having an item that is linked to a future mission is what matters. Might even be funny if the person holding the item has thrown it into a chest filled with similar “junk” and has to sort through to find it.
Why? Because campaigns need to have links. Because players need to feel that their characters are alive - alive in between missions, not just during them. Because it might make your players think twice before dumping everything for whatever meager gold they can get for it. and lastly, Because a link like this makes people invested in the missions and their characters, which makes them want to come back for more of your games.