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GURPS might make an excellent system for this kind of campaign because of all its historical world books. So you might start in the Ice Age (one of my favorites), move on to Atlantis and its destruction, then to Greece, Imperial Rome, Middle Ages, Scarlet Pimpernel, Old West, World War II, something modern like Cops or Special Ops, and beyond to Cyberpunk, Terradyne and Traveler!
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Back and Forth
The beauty of this concept is that there is no reason you couldn't go back to a past era for a session with the ol' gang even if you're past it in the "Saga". Maybe you just miss your ancient Egyptians, maybe you make it part of the action as a "reveal" of a character's heritage (for example, a character might tell a story passed down from generation to generation).
What You Leave Behind
There are three ways to link the various eras you use. One is to make the transition an important event in the era you're leaving. The Atlantis era, for example, might end with the characters narrowly escaping the island's sinking and landing in Greece, setting up the next chapter. Their descendants' capture by Roman hands, might set up the Spartacus chapter to come, and so on.
Then there's the family heirloom. A sword/amulet/secret/curse passed down through the generations would identify a character and its progeny and keep a sense of telling the same story. Some objects might not last the thousands of years necessary, unless you make them magical (Excalibur has been pulled out of a stone in many SF stories).
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So What's the Story?
Each era has its own type of adventure. You can just go along with it. The premise is that the families of these characters have a long tradition of being adventurers (likely unbeknownst to them, even). Or if an "heirloom" is important enough, then it is the saga of that MacGuffin and how it survived through the ages, always surrounded by men and women of determination or action. Sky's the limit and history is a looooong time...
Comments
Roger
Flea: I've played something LIKE this, which I should get down to codifying at some point (Shiftworld, we called it), but not so focused. I might give it a go after I manage the Doctor Who campaign I'm still in trying to start. The September rush is over after all...