Working in the plane, I've defined notions of "Horizontally connected" and "vertically connected", wherein a set $S$ satisfies the former if $\{(x, y) \in \mathbb{R}^2 : y = k\} \cap S \neq \emptyset$ if and only if $k \in [a, b]$ for some interval.
Vertically connected is defined likewise, but instead $S$ is being intersected with $\{(x, y) \in \mathbb{R}^2 : x = k\}$.
I conjecture that a set $S$ is connected if and only if it is both horizontally and vertically connected.