I read Stephen King, and I'm not doing a shared universe per se.
Most of my books are set in the same geographical area, and they share fictional cities, but the crimes and villains of one story don't necessarily cross over to the others.
When he first put Randall Flagg in the Gunslinger series, I think I wrinkled my nose a bit. I liked Randall Flagg where he was at the end of The Stand - completely undefined. He could easily pop up anywhere else.
Then, when he had the Gunslinger characters actually appear in The Stand storyline, I almost quit reading. I get what he's doing there, and by God, he's a much better writer than me, but I don't have to like it.