DEPTH OF THE GAME CAMPAIGN.
One of the most effective devices that E. Gary Gygax (henceforth, EGG) used to give the AD&D game a marvelous (read: ancient, arcane, mysterious) feeling of depth and complexity was this: the inclusion of items, adventures, and scenes that might not be found by players. That is, there were some mysteries in the World of Greyhawk campaign that indeed might only be found by the most creative and inspired and skillful players, and missed by all others: it was indeed very special if these mysteries were found out. Contrast this with the motivation most module designers have, either based on a sensation that any important campaign point (that is, time spent designing) should be revealed to players, or else a need for the players to succeed and proceed to the next module in a series (or episode in an adventure), which generally directs the players into pre-orchestrated modes of action.
For example, many non-EGG modules often resort to a paragraph or two exhorting the DM to bend the rules so as to allow players to survive, or find the missing clue, or arrive at the important site at the critical time (for the above reasons; e.g., module X4, page 2). Consider instead EGG's G-D-Q series: in each of the G modules, it is entirely likely that the clue to the next adventure will be missed (usually, hidden behind several secret passages), and even more so in the case of the link from D3-Q1. (Whether an individual DM might stack things so as to guarantee the use of a later module s/he has purchased is entirely another consideration). Or, consider the magic items and secrets buried deep in thick books in "Mordenkainen's Fantastic Adventure" (WG5). Or, the nightmarish Undertemple of the "Forgotten Temple of Tharizdun" (WG4), which is almost impossible to discover and explore, and more than likely unknown to many adventurers who have otherwise cleared out the place and departed, considering themselves wholly successful.
EGG's general strategy was to design worlds and campaigns, filled with many different interesting locations and sites, and then leave it to the players to turn whither they would, and bypass whatever they wanted. Note that in this game design philosophy, (1) the players are proactive, in control, and not constrained by some foreordained timeline (say, engineered by a proactive evil figure) and (2) the narrative (as per a fantasy "story" or "novel") is not predetermined or in any way certain. This is a very postmodern movement. Actions (scenes, adventures) may very well be entirely disconnected and unrelated: however, excitement and interest are always maintainable, because at any moment the roll of the dice might mean the demise of a player character, and there is no guarantee that player desires (usually money and power = experience) will be fulfilled, as opposed to a novel (one can see from simple page count that the story will not end in the middle of the book), or a movie (one knows that all the characters are not going to die before the allotted running time has elapsed). Note also that EGG has in fact made for a rather poor novelist for exactly this reason: "Saga of Old City" (his first book) is disjointed and meandering in precisely this way, and his later works ("Dangerous Journeys") suffer in the same fashion (or else from the Asimovian disease of seemingly being written all in one sitting, and having only one climactic moment, as would be fine for a short story, in an entire novel).