Hyperlink Story

A Hyperlink Story is any work that, at first blush, seems to be made up of several separate, unconnected, and unrelated storylines that gradually, over the course of the work, slowly merge into a single overarching storyline. It is only after the merge that the audience realizes that it was all one big story all along.

The name comes from film critic Roger Ebert, and is arguably Truth in Television.

Another Side, Another Story can be the videogame equivalent. Compare Plot Line Crossover, which is just a brief intersection between unrelated plots. Working the Same Case is a subtrope. You ALL Share My Story is a Sister Trope.

Anime and Manga

 * Baccano! is composed of many separate (anachronological) stories strung together into 3 distinct stories that are in turn connected to each other by characters and events.
 * Durarara!!, from the same writer.
 * Paranoia Agent

Comic Books

 * Grant Morrison's Seven Soldiers is this.
 * Sin City.
 * The film version even more so.
 * A revamped Dial H for Hero comic series, titled simply H.E.R.O., was a long and involved version of this. Each issue told the story of a man or woman who found the Power Dial and ended up using it, but also included a subplot in which Robby Reed, the original user of the dial, breaks out of prison and tracks the dial down. In the last handful of issues, Robby Reed gathered several of the dial's previous users together to help him stop a serial killer with the power to use any super-power he can imagine.
 * The Sandman

Film

 * Several films by Robert Altman function like this, most obviously Short Cuts and Nashville.
 * Crash.
 * Hereafter, which was unfortunately advertised as more of a star vehicle for Matt Damon than one of these, which led some viewers to be confused when it turned out to be one.
 * Snatch.
 * The spiritual predecessor to Snatch, Lock, Stock and Two Smoking Barrels, has this as well.
 * Magnolia.
 * Pulp Fiction.
 * Love Actually.
 * The movie Playing By Heart. It's kept from the audience until the end that.
 * The indie flick Franklyn, where the three protagonists' stories only intersect five minutes from the end.
 * ~200 Cigarettes~.
 * Four Rooms.
 * Pod People.
 * The Gods Must Be Crazy
 * Lantana
 * Look Both Ways
 * Playing By Heart
 * Syriana
 * Traffic
 * Babel

Literature

 * Ian McDonald's novel River of Gods.
 * The novels of Sarah Dessen, which frequently have characters from earlier novels making brief appearances in later ones.
 * The Valley of Horses, the second novel in Jean Auel's Earth's Children series, alternated chapters focusing on Ayla and Jondolar, until they met about two-thirds of the way in.
 * A Confederacy of Dunces has this.
 * Anything written by Neal Stephenson, but especially Cryptonomicon and, to a lesser degree, The Diamond Age.
 * The Remarkable Journey of Prince Jen mainly follows Jen, but each of the artifacts he carries winds up in the possession of another character, whose story is begun and followed for only one chapter before the book goes back to Jen. All of them make an appearance and play a necessary part in the ending.
 * Middlemarch
 * The Jack Vance short story "The New Prime"
 * Glen Cook's Starfishers trilogy.
 * Most books by Nick Perumov are like this. They start with many plots (at least three, but there are up to six at some points), which seemengly have nothing to do with each other, and only gradually do we see how those are related.
 * Haruki Murakami's After Dark. There are about three to four different perspectives at first, then we learn how those characters and plotlines are connected.
 * Tad Williams loves this trope.
 * Tom Robbins' Jitterbug Perfume jumps between seemingly unrelated characters on different continents and even living in different millennia before tying their stories together.

Live Action TV

 * Heroes, especially the first season.
 * Most episodes of Seinfeld.
 * Lost. The backstories of the characters start to interconnect this way, starting around the 16th episode when we learn that Sawyer met Jack's father in Australia.
 * The Wire is a Hyperlink Story. Every named character, and some that aren't named, eventually affect the overall plot in some meaningful way.
 * Six Degrees
 * The Pilot Episode of Modern Family, where we don't realize until the dinner party at the end that the three families are related.
 * Traffik
 * Each episode of Touch has several scenarios that appear unrelated, but eventually connect to each other in specific ways

Web Comics

 * Dead Winter: The webcomic follows Monday and Lizzie, who appear unrelated to each other except for one chance meeting at a diner. Later it is revealed that Lizzie's father was also employed by Monday's former employer, and then their story arcs merge.
 * Irregular Webcomic: What started as different themes based on which Legos the author possessed, became an attempt to fill up the crossover table before becoming a full-fledged Myth Arc.
 * Dream Catcher (Not to be confused with the Stephen King novel/movie.)

Web Original

 * Broken Saints starts out as four seemingly unrelated stories. By the end, it's only one story.
 * Fine Structure has the teleportation experiments, the Powers, and whatever the heck Mitch is. The scientists involved with each all started out working together in the first story but went off into their own occupations and storylines, only reconverging about halfway through the story.
 * Blueful, a prologue to Aaron A. Reed's Interactive Fiction story Blue Lacuna, is a literal hyperlink story told in snippets scattered across the Internet. Each piece of the story points to the next one on a different site.

Western Animation

 * There was an episode of The Simpsons which was like this (even moreso than normally). Lisa had Linguo the grammar correcting robot, Bart and Millhouse went on an adventure, Homer got his thumb cut off... all converging at the end.
 * "22 Short Films About Springfield" took this even further, with extremely short stories, occasionally converging or affecting one another.
 * "The Seemingly Never-Ending Story" was similar: while trapped in a cave the Simpsons tell each other stories, often with more stories within them, that eventually collide when.
 * In My Little Pony Friendship Is Magic, the story of how the Mane Six got their cutie marks  when they were all fillies.