Books

Well, Esk does eventually come back for an appearance in one of the Tiffany Aching books. The incident that turned the librarian into an orangutan is seen in The Light Fantastic, as a side effect of the Octavo breaking its containment. The Last Hero is basically a direct continuation of Rincewind's earlier adventures with Cohen, and he winds up on the expedition partially because he's known to be the only person (other than Twoflower, who is absent) to go over the edge and return to tell the tale. Other than the lone remaining sailor from the Maria Pesto, anyway, and he only lived long enough to gibber his one line before keeling over dead. Prior to launching Leonard's great kite, the circumfence around the edge of the Disc near Krull briefly becomes a factor in that the wizards have to blow it up before the craft gets snagged during its launch, and nobody except Rincewind seems to know anything about it in advance.

There are probably other little cameos and callbacks I've forgotten. But yes, the first couple of books were very weird. Pratchett seemingly hadn't formed his final vision for what kind of world the Discworld would be, and it's still riffing heavily on well known fantasy adventure tropes and works like Conan and Fafhrd and the Gray Mouser.