The Moomin books by Tove Jansson.
I quite enjoy the on-going episodic adventures, never truly coming to a close. And even though a few of the adventures are very grand, they all still feel very connected to the characters.
I have never admired a series so much as I have these books. They're quiet, peaceful, introspective, with plentiful touches of whimsy.
I've found with a lot of long series with overarching plots, I end up slightly disappointed with how they end even with the ultimate defeat of their archnemeses, like Harry Potter and A Series of Unfortunate Events. But with Tove Jansson, she's just like: Here are the characters. Here are snippets of their normal lives. They can be heroes at times, they can be fools the next. That's just how they are.