Grey's Anatomy/Private Practice
had a series of episodes a few weeks back where for, like 3 weeks running, both shows (which air back to back) were part of each other - mixed casts on both shows in a continuing story. I would imagine when the DVD sets come out, they will have to include all of the episodes in both sets or the story won't really made sense.
There are other CSI
crossovers that I know of too - a while back CSI
(Vegas) did a crossover with Without a Trace.
Characters from both shows were on the other for 2 episodes. There was also a crossover with Cold Case
and CSI: NY.