Keith Carradine was the main cop's father in season 1. In season 2, the main law enforcement character is the younger version of that character played by Patrick Wilson. And another character ends up being a minor head gangster from season 1. Several characters from season 1 return at the very end in a brief flashforward. Season 3's main connection was bringing back one of the characters from season 1. And season 4 includes an origin story for an antagonist in season 2.
Adding to that, the first season connects to the movie as well via the case of money.
The connections never really matter to the plot but do somewhat make the world all feel a bit more connected.