You mean different fantasy worlds from different books, not parallel worlds that occur in the same book, right? (The latter would be a different circumstance.) In other words, how do we keep all our stories straight?

I have never in the past overlapped any of my book series. The worlds are completely standalone and no reference is made to any content from my other stories. I do think it can be interesting to link some of your book series together; faithful readers will find it amusing, though sometimes it comes off as cheesy or conceited. I think if you have the time and patience to detail all your fantasy worlds, making them interconnected in a great fantasy universe, that would be very interesting to read. I myself, though, just prefer to start afresh with each story and not be bound by any of my previous tales.
In practice, I'm generally focusing on one major work at a time. I'll occasionally detour, stick a short piece in the middle, but I'm usually on a spree with one work or the other. That work will remain at the forefront of my head and all my other worlds are safely stashed aside.
Keeping each fantasy story unique, though, is a good thought - something to be careful of. We all have our favorite elements that crop up in our stories, the styles we default to - so unique can be a challenge.