You have probably seen it in TV, maybe read it in comics, or a book series, maybe even in some movies; the character who keeps coming back. They aren't a regular, they certainly aren't often around to be a supporting cast, but they crop up just the same. In RPG terms callbacks are when an NPC, be they a friendly or an enemy, show up in a later session. This isn't the same as an NPC who is in every session however, that's more like supporting cast; callbacks are when the special guest star comes back for an episode.
Sometimes it's a rare example of a long pay off, other times it's a favorite character who comes in and out of the narrative, but who is gone far more often than they are around. Sometimes with time they start to show up more frequently, getting upgraded to the next higher level of recurrence, other times they only make a single return to pay off the very reason they were inserted into the story previously. Obviously if your big plot is "defeat evil guy" then said evil guy should probably show himself, mock and deride the player characters, and possibly defeat them one or more times. This builds up the animosity and makes what may have been an impersonal quest a very much personal one. It also helps establish the character of the evil guy, their strengths and weaknesses, this will allow the players to more organically find their "secret weapon" for defeating the evil guy.
It works for heroic NPCs as well. A knight who requests the player's aid from time to time can eventually become an ally that they can call on to help them later. A scholar that has provided much wisdom and hidden knowledge can later call in a favor and give you a solid plot hook for a story. Call backs also allow for the setting to become a little more real. Unless the characters are literally making a constant path that never doubles back it is unlikely that they will never encounter significant personages again. This can even be used for humorous effect if the players are always encountering the same traveling bard or peddler. That seemingly minor NPC can later be revealed as something else if you so desire; an agent for the evil guy, or a divine being interested in ensuring the success of the characters' quests.
Needless to say I find callbacks to be very useful for long term plots.
Callbacks don't have to be used for just characters however. Items and places, even events, can be used to connect plots between "episodes." An important relic that the character's rescued for an NPC may prove to be the only weapon capable of defeating an enemy. A dungeon (or equivalent) that started a long quest and was seemingly fully explored may turn out to have only been the proverbial tip of the iceberg.
Overall I find the technique invaluable to building a better narrative, one that engages the players and helps them to care about no just their character and the loot they have amassed. It helps to make their previous efforts in changing the world feel real, and their previous explorations carry more impact beyond that of the tabletop equivalent of a procedurally created dungeon. And when it comes down to the loot, well it helps to make the loot special as well. Whether it's the lightly enchanted weapon that was more powerful than they previously knew, or it's the dangerous item whose sale later comes back to haunt the PCs when it is used on innocents or even they themselves.