you're kinda right, but also kinda wrong. More anime has an overall story that can be seen throughout the whole show. I enjoy this story driven concept better then most american shows that are more episodic.
Heck they even make fun of it. look at futurama, the first episode that featured the omicronians invading earth. Fry admits that the secret to every show is to end with everything being exactly the way is started, while it has a visual gag where the entire city is destroyed at the end of the episode, the next episode has no continuity.
While other shows like Venture brothers have an illusion of a continuing storyline, the truth is that most episodes can entirely stand on their own.
Lost has an overall story but the fact that the story lacks any direction and that it keeps on getting more convoluted has ended up creating a far too confusing plot that has no real direction and far too many lose threads. I want that show to finish already. God damn new seasons ruining shit.
Battlestar galactica is better in that it continues a central story line in a relatively linear path. but it also suffers from the producers wanting to make more seasons and being unwilling to end it for the stories sake.
One of the greatest shows i've seen in a long time has to be extras. Its funny, has a commentary, the story and even minor plot elements carry through the episodes and since it was concluded in it second season it doesn't suffer from an overdrawn storyline or jumping the shark. People should use this as a bench mark god damn it.
I prefer to have my TV shows to have a sense of direction. And thats why i like anime, since a lot of it is actually adapted from already written story lines and most shows are only made for a single season. there are exceptions (lol bleach) but in the end it's all just mindless entertainment.