I always think that navigation does not go across site collections and it general it doesn't. However you can use the Portal site connection option in order to include a link in the breadcrumb. For example, you have an Intranet with team sites and you wish to separate the team sites into a separate site collection, which is sensible because then it can be a separate database.
In this case I have a portal called http://intranet and a site collection called http://intranet/portal/sites. In the Team sites collection I want the Intranet to appear as the first node on the breadcrumb. This can be achieved using Portal site collection.
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Site Actions > Site Settings > Modify all site settings
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Portal site collection under Site Collection Administration
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Enter the address and the name you want to appear as the breadcrumb link

4. This will then display as the first node in the breadcrumb
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NB: This is just a link, so this doesn't have to be to another SharePoint site collection – it could be to your corporate website or intranet hosted on something else.