Usually, role-playing game adventures have a single goal: recover the magical object that will save a town, defeat the invading hordes, rescue someone’s important son, and so on. There’s a clear goal and purpose within the adventure, and usually the path is clear. Once the adventurers return with the magical item, or defeat the hordes, it’s over. Of course, there are things that happen after an adventure, but these are usually almost like side-effects of the whole event, like getting acquainted with a powerful noble, or becoming a town’s cherished heroes.
But that’s not what I’m referring to.
You can write adventures to have double goals. These can take many shapes. You can, for example, create an adventure with two concurrent missions, goals that can be complementary, for example, defend the town that’s near the magical object’s location from invading marauders. You can also have somewhat opposing goals: Get the magical object but ensure that everything is left as undisturbed as possible, maybe even preventing others in the future to reach the same place.
It can also be done as a continuation: Go on an adventure to retrieve the magical item that will save your town, but make sure to return it or dire consequences will befall not only your town but the entire kingdom! In this case it’s almost like a second adventure, but by writing it all together you can achieve more cohesiveness, especially if you’re planning this as a part of a larger campaign.
This will give your games way more depth, and a sense that actions have consequences, something that sometimes is completely missed in adventures (I suppose as a leftover from the Hollywood-esque types of adventures were accustomed to). And remember that each thread in an adventure can open up more threads themselves, in a way that even without noticing, you and your players will have woven a beautiful, elaborate tapestry of adventures, thrills, in a three-dimensional world.