It's called a composite novel. I can only think of "I, Robot" doing this (already mentioned), Foundation (though that's very episodic), maybe Stephen Baxter's "Xeelee Sequence." Those are sort of assembled after the fact, but I guess they count.
My favorite like this, though it's not sci-fi is "This is How You Lose Her." Junot Diaz was such a good writer. Tremendous. I saw he wrote a flash fiction piece recently (last year), if you're quick with cut/paste on the The New Yorker site, you can read it. You have to be faster than their "you haven't paid us!" block on the site. God, I that trick, haha.
Yeah, if you really want to see a book do this, check out "This is How You Lose Her." "Olive Kitteridge" definitely does it too, but's not quite as good. I mean, it's very good, but Diaz's book is S-Tier excellent. Maybe since he's writing flash fiction, he's about to write longer books again. I hope so.