The Ravenloft setting is weirder than most, with maybe only Planescape and Spelljammer potentially out-weirding it.
In Curse of Strahd, the most recent official venture into the setting until Van Richten's Guide to Ravenloft comes out in about two weeks, the domain of Barovia is cut off entirely. The Mists of Ravenloft surround the valley region, and the player characters cannot leave until they have achieved victory in slaying the vampire Strahd von Zarovich (though the Dark Powers never let him stay dead for long).
The reason the original adventure module was called Ravenloft was that the big dungeon (as most D&D modules were built around dungeons at the time) was Castle Ravenloft, a massive gothic castle. The name was iconic enough to become the name of the setting, even if its technical name in-universe is the Demiplane of Dread, or the Domains of Dread.
I think the intention at that time was to treat Ravenloft as more of a typical D&D setting, and so the various domains were placed in cohesive world. That world was dominated by a continent called The Core, though some realms, like the Mummy-themed Har'akir, existed on islands across the sea. The domains really seem to be connected geographically, with mountain ranges in Barovia extending into others domains, and it really makes the whole place seem like a real, physical realm, albeit one that is suffused with dark magic.
In Realms of Terror, they describe how the various Dark Lords were able to control the Mists, closing off or opening their domains as they chose. In fact, Dark Lords Strahd and the Lich Azalin were known to team up now and again and have wacky adventures.
Curse of Strahd presents Barovia as profoundly isolated, and suggests that, apart from the Vistani (who have the unique ability to come and go as they please,) no one seems to know much about anyone coming and going, except for adventurers being drawn into the realm via the Mists from the Prime Material Plane.
In 5th Edition, the idea of "The Core" and the notion that the domains are connected physically - as if, were you to somehow cause the Mists to blow away, you'd see just an unbroken landscape - has been dispensed with. Each domain of dread is truly its own little pocket-world, and travel via the Mists is more of a metaphysical journey.
What does this mean for campaigns or adventures set in Ravenloft?
The way I see it, there are three primary forms that an adventure set in Ravenloft can take.
The first, and simplest, is the "brief nightmare." This could be a one-shot or a short adventure in which the players find themselves in a domain and must accomplish some quick goal to escape. This could be like escaping from a haunted house, defeating a deranged slasher (the "Relentless Killer" monsters, I suspect, will be that sort of thing,) or fending off a siege of zombies. The key is that this is a short-term crisis that can resolve swiftly. If "The Rider's Bridge" is what I think it is - a tiny domain out of the Legend of Sleepy Hollow in which the players encounter a Dullahan (aka Headless Horseman,) that seems like a perfect fit. The appeal here is that you can really focus in on a single mood, and it makes for a great one-shot or departure from a campaign with a different overall vibe, especially if you want a Halloween option.
Next, there's the "escape from the domain" style of adventure. This would be modeled on Curse of Strahd, in which the players spend a significant time - even a full (though likely not to 20) campaign trying to find some way to defeat the domain's Dark Lord and escape back to their home plane. In this case, you could have many component quests that all add up to defeating the big bad. The appeal here is that you can really delve deep into a given domain, fleshing out what's going on within it and making a really compelling villain of your Dark Lord.
Finally, there's the "epic horror" adventure. This likely harkens back to the old school style of campaign. Even if the domains aren't physically connected, you could still have ways for people to cross the Mists and journey to other domains. Perhaps you start off in some lower-stakes domain like Richemoulout (assuming Jacqueline Renier isn't that much more dangerous than a standard Wererat) and then travel through the Mists to other domains. The plot might become something epic - like a power struggle between the Dark Powers and the Raven Queen, perhaps with the Shadowfell trying to better incorporate the Domains while the Dark Powers seek to keep them separate. I think you could also have a really interesting plot in which some Archdevil is trying to take the soul of a Dark Lord, while the Dark Powers wish to keep it - and maybe the campaign could be about uncovering why the Dark Powers are doing this in the first place.
There are, obviously, some other kinds you could do. One concept I had a while back was a comedic-style campaign in which Rudolph van Richten recruits you to throw a massive party at Castle Ravenloft and get all the Dark Lords to show up, and then blow the castle up with explosives rigged in the crypts. It'd be called "Dead Man's Party."
Another factor to consider is where your player characters are from. Curse of Strahd assumes that PCs are from a more typical setting like the Forgotten Realms, and that the Mists take them. But, especially with the Gothic Lineages, Van Richten's Guide to Ravenloft looks like it will create more opportunities for a player to come from the Domains of Dread, which means they're fighting on home turf. That could really change the vibe of an adventure - a human ranger from outside of Waterdeep might be eager to get back to their familiar woods, but a reborn artificer who woke up on a slab in Viktra Mordenheim's laboratories might feel that Lamordia is the only home they could ever really know, even if it's objectively horrible.
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