Some ideas for level selection...

[Ingemar]

Interesting question, and I like your examples! Indeed, there are a few different ways to connect the world.

For me, some kind of interconnected world seems natural, a continuous world where you can go anyplace you like. The question is rather how to travel. I first thought about driving/flying from place to place, but there is a risk of the travelling either gets dull, or it is so short distances that it doesn't really count as travelling (can be helped by some accelerated mode or "space warps"), or the transportation is spiced up by combat, which would then have to be so integrated with the game that it controls what the game is really about. Hm...

Now, I consider some solution more based on "portals", moving instantly from location to location, possibly with some animation between to symbolize the actual travelling.

[Darthman]

In my case there will be different locations with able to warp from one location to another.

[WILL]

Another alternative, if you are looking for a more "seamless" look/feel approach, could be to enter some kind of warp sequence or such. This could provide an opportunity to make the act of traveling it's self a part of the gameplay AND you could add in a set of new gameplay that takes place in between locations should you want to go that way too.

Games like Ratchet & Clank Future do this and it's quite fun if done well.