For those not familiar with the term, picaresque refers to a novel that is largely episodic, without an overarching plot. A number of the Oz books fit into this mold. Dorothy and the Wizard in Oz and The Road to Oz are the most picaresque of the Oz stories.
The Emerald City of Oz is a curious example, because while the Nome invasion plot thread clearly demonstrates rising action building to a climax, it is interspersed with a very picaresque tour of Oz. Even in more focused stories, like Glinda of Oz, there are often small encounters that do not feed into the main plot.
The only stories that do not feature picaresque elements are The Land of Oz, The Patchwork Girl of Oz, and The Magic of Oz. While Patchwork Girl has characters wandering all over Oz, it is in support of the overarching plot of Ojo trying to rescue Unc Nunkie.
Gamers are familiar with the picaresque, though they might not think to call it that. Consider the typical "wandering adventurers" campaign. The heroes wander into town and discover some nasty bugaboo causing trouble. They seek out it's dungeon *ahem* lair, and stop the trouble. On to the next town. Lather, rinse, repeat.
If you're running an AiO campaign, this basically means that you shouldn't be afraid to throw in something random and cool as your adventurers are on their way to the important stuff. Or throw in something random and cool when you can't think of an epic plot.