As Robert Cecil said to James I and VI when the Gunpowder Plot was folied: "The ending is a bit messy, but it's a good plot."

I write a fair number of the longer stories here. I know it puts some people off, but I want to establish atmosphere and character, and when I write with a broad outline in my mind I think of new twists I don't want to exclude. Personally I'm as likely to embark on a longish story as a short first episode of a serial: either way, I feel I ought to read the whole thing (unless I'm thoroughly bored or disgusted by the opeing bits) and when trying out a new author to me, I do tend to go for shorter submissions as a taster.
In answer to Jacqueline's original question, I think if you are going for episodes, 3-6,000 words makes sense. However, some stories can be broken up into episodes quite easily and others not. This is a matter of all sorts of things - some exciting, sexy action in each bit; natural shifts like the action moving from New York to Yorkshire, or from John's story to his daughter's; being able to end a part with a cliffhanger (something that makes the reader want to move on to the next part) are just a few. I would have been reluctant to have broken up my long story "For a Fistful of Knickers", for example, but "Parslow and the Policewoman" fell quite happily into four parts.