When playing a TV in iTunes via AirPlay to Apple TV, it doesn't play the next episode I have some TV shows in iTunes that I am AirPlaying to my Apple TV, at the end of each episode AirPlay disconnects and iTunes doesn't play the next episode. Is this default behaviour or do I need to make sure that the names/meta data of the TV shows themselves 'flow'?
This is the default (and only) behavior.  Whether you play the TV show from the special TV Show section of iTunes or create a playlist, iTunes will only play on TV show and then stop.  Try the playlist approach - iTunes won't even play the playlist, but forces you to select one show and then start playing.