I basically follow the comics, Marvel through DDP. Being a huge comics fan anyway, I'm used to comics being the "official" story for things (LOVING Buffy Season 8!). I like some of the characterisations from the 'toon, especially for guys who didn't get much face-time in the comic (which DDP has been incorporating anyway), but since the characters were created by Larry Hama and the comic came first I refer to that as "the" story of the Joe team. So dead in the comics means the figure goes in my "Drawer of the Dead" and only sees the light for flashbacks...
Because there's so many Joes who didn't see much (or any) action in the comics, and many missions that could be happening alongside the ones we've read, I like the challenge of creating stories that can be interwoven with the comics, expanding on things there or just bringing in new stuff.
Having grown up with "Action Force: International Heroes" where the filecards (and, to an extent, Marvel UK comics) changed many birthplaces to make the team truly international, when the Marvel US series ended with the government shutting down the Joes I went back to the Action Force concept. Incorporating elements from the old Action Force vs Red Shadows days and the team style of Marvel UK, I saw Action Force as an international anti-terrorist group with some ties to the UN, based in the UK/Europe. They'd expand to fill the anti-Cobra void left by the Joes, even bringing in former Joes as specialists when the missions called for them. The existing Action Force roster was basically any character from the Palitoy days (including Americans like Blades, since it IS an international organisation) and I added any non-US citizen Joes who couldn't have easily been integrated into the US military after the Joe team shut down.
I still have Action Force, with its ranks again swelling when the Joe team was downsized for the America's Elite series, and I've also come up with stories for many of the "reserve" Joes which would run concurrently with AE (a little like the Special Missions one-shots, but with a twist). Hopefully someday everyone'll get to see these stories in an Epic Dio-Saga and until then I hope DDP doesn't bring General Flagg III into the comics continuity otherwise I'll have to start over!
I also have the Oktober Guard out there as Russia's elite special missions squad, now consisting of just Red Star, Dragonsky, Misha and Big Bear. They'd work alongside the Joes or Action Force due to current political climates as well as past personal allegiances.
Oh, and when I say I do stuff with the characters who never made it into the comics, I don't mean the most out-there sci-fi stuff. I'm with Hama on disregarding Cobra-La and while I don't own any Lunartix I'm in no hurry to ever get any... Mega-Monsters, though, conceptually actually work as early V-Troop experiments. Even if the figures look daft!