While I have never published anything like this, I have plotted and written something based along the same premise of a TV series. Therefore, I'm speaking from the viewpoint of the writer and plot developer only.
What is some general guidance on how this might be done?
The first thing you need to do is work out your premise - the main storyline, the tale that will transcend all of your episodes. I will be very nearly like a regular novel, though you do need to leave plenty of room for twists/revelations. You also need to determine if you want to leave it open-ended - that is, if you want a defined 'end,' or if you want to keep going for as long as you can (rather like a TV series). If you want to keep going, you will need a premise that allows you to simply stack more twists on it, rather than wrapping it up at the end of each 'season.'
Once you've developed your main premise, you're ready to start on the plots for the individual episodes or chapters. These develop the same way as a normal novel, except for the fact that they are of necessity shorter. You do not need to include part of your main premise in every episode, but be sure to have it in the background.
What are the prominent difficulties of this format for a novel and how can they be handled?
The most prominent difficulty? Keeping things connected. Since every chapter is its own story, it's very important that you keep everything connected with the main premise (a word of caution - readers will begin to see coincidences if absolutely everything is connected). Rather than making things connected through the physical (the main character is related to someone), connect them now and then through emotions or the like (this means something to the protagonist, even if it is only in a symbolic way).
What are the potential strengths of the format and how can they be exploited?
I would say one of the best strengths is the power to keep readers reading. At first, a chapter that has a beginning, middle, and end, may seem like it ties everything up with every episode, and the reader is satisfied. The reader is satisfied, but it's your job to make him keep wanting more. You do this through characterization, plotting, all the writing techniques that make readers want to read your books in the first place (it is my personal opinion that this is why it is important all of your 'episodes' concern the same protagonist - the reader is already invested in him). The readers like your writing, and they know that there are more short stories out there. Even though the protagonist seems 'wrapped up,' they know there's more to the picture, more to the main premise, and they want to read it.
As for examples, I do not know of any. I would refer to Dale Emery's reply.
Disclaimer: Remember, I have never published anything of this nature, and speak only as a writer.