Peter David's Star Trek New Frontier novels include an immortal character named Morgan Primus. It's hinted that the character may be the same as Number One (from "The Cage"), suggested that she is the original model for shipboard computers' voices, and both Jean-Luc Picard and Montgomery Scott mistake her for other women they're familiar with (Lwaxana Troi and Christine Chapel, respectively). All of which is a big wink at the numerous roles that actress Majel Barrett (-Roddenberry) has filled in the Trek Verse.
In the Rihannsu novel The Empty Chair, it’s mentioned that there’s a planet just barely inside the Rihannsu side of the Neutral Zone that is almost richer in dilithium than Direidi. In Swordhunt, a Klingon refers to a "Thought Admiral".
In Dark Force Rising, Luke and Mara sneak aboard a Star Destroyer to rescue Talon Karrde. Luke sneaks into and out of the detention area via a trash compactor. (Also, earlier, looking to disguise themselves for the rescue attempt, Luke advises Mara that stormtrooper armor is hard to see out of.)
"I can't see a thing in this helmet!"
References to "I have a bad feeling about this" are rife in the EU. And Death Star is absolutely packed with acknowledgments about the builders of the Death Star, the prototypes, and what else is going on in the galaxy.
Star Wars: Legacy had an "I love you." ... "I know." exchange between two characters, one of whom is a descendant of Han and Leia.
The Star Wars EU is unusually continuous, for an Expanded Universe. In theory all books are a view of the same 'verse; some views are crystal clear, some are blurry, and some are downright abstract. In practice it depends on the writer. Karen Traviss does no research at all and merrily tramples on previous canon, then calls people who dislike this the "Talifan". Timothy Zahn reads everything, takes it into account, and then incorporates details and characters freely and subtly, though he retcons things here and there. In the first book of the Hand of Thrawn duology, he introduced the Caamaasi species, though none of them were named characters. Immediately after that, Stackpole wrote "I, Jedi" which had a Caamaasi character, and in the second book of the duology Zahn included this character in a fairly prominent role. The two books of the duology were published a year apart. The character was in character. Most writers lean more towards Zahn than towards Traviss, but is it any wonder who is more loved?
While authors try to mimic Zahn in this way, LucasArts itself seems to merely despise the fanbase when they ignore the idea that there is any pre-established continuity. They ultimately decide the outline of new Star Wars material, and in an actual inversion of the Continuity Nod that goes beyond simple Retcon, they add new events to the timeline thousands of years apart and then connect them together. For example, the new Fate of the Jedi series, which takes place about 40 years after the movies, involves plot elements from 5,000 years before movies. Previously, the span of important events covered to about 4,000 years before. When they ran out of room to reference events, they just tacked it on the end, and at an arbitrary date no less. Plans spawned from said 5,000 year plot must coexist alongside other plans, such as Palpatine's rise to power, The Sith Empire from The Old Republic hiding in the Unknown Regions, and The One Sith (which is itself another example of this): all of these plans manipulate politics and events at a galactic level, yet they never contradict one another. This new element is simply the newest of a long trend, and one that just ramps it Up to Eleven. The characters are unaware of these plots (as is the audience) but the Galaxy Far, Far Away, in its omniscience, knew about them the whole time.
From the chapter "The Prince's Tale": "Keep an eye on Quirrell, won't you?"
There are about a million of 'em in that chapter as Harry goes through all of Snape's relevant memories—Dumbledore and Snape's conversation in the woods (where Snape says "you take too much for granted") is the one Hagrid overheard, as reported in HBP, we hear "that awful boy" (Snape, not James) telling Lily about Dementors, as overheard by Petunia and reported in the beginning of OotP, etc, etc...
Book Five is basically one Continuity Nod after another. When Harry takes his exams, he reminisces over all the stuff he did and learned over the past five years.
And the bronze dragon also makes its first appearance in The Demigod Files.
Also, while shopping in Medea's shopping mall, a bronze breastplate that is corroded with acid is mentioned along with other merchandise belonging to deceased campers. It likely belonged to Silena or Clarisse.
The Armor coupled with Aphrodite's conversation with Piper doubles as Fridge Brilliance when you realize that Aphrodite was most likely referencing Silena when she held up the armor.
Nereus, the old man of the sea, last seen in Titan's Curse, makes a blink-and-you'll-miss-it but funny cameo in Son of Neptune.
Vitellius, in Son of Neptune, asks whether or not Percy cleans stables during their first conversation. Since Percy's memory has gone, he can't remember that he did in Battle of the Labyrinth.
In Mark of Athena, Percy decides against telling some water nymphs who have been trapped that the nature God, Pan is dead, something he personally witnessed in The Battle of the Labyrinth.
Also in Mark of Athena, Percy compares the problem with the doors of death to having a 'dam hole'. When the characters ask what he means he says it was an inside joke.
Warhammer 40,000: Gaunt's Ghosts has quite a few nods to other books Dan Abnett has written, and almost all of his books include references to the events and characters in his other works. Many, however, are retroactive, having been written about first as a passing reference, then developed into a full story. This can result in circular Continuity Nods.
Dan Abnett's Horus Rising opens by recounting how Loken would say that he was there when Horus killed the emperor. This is, in fact, the emperor of a planet they conquered while he was still a loyal son of the Emperor, but it's not lacking in Irony.
Indeed, if you know the backstories well enough, the entireHorus Heresy series contains at least one example per chapter that is just like that. Fans will often yell 'No! No! Don't do that! You stupid plonker!' at certain actions, and frankly groan at the various lines that are just dragging the currently on-top-of-the-galaxy Horus deeper and deeper into wannabe Evil Overlord territory.
Also, note that the first chronological literary appearance of the Dies Irae was in the very first Heresy novel, and it went on to play a major part in the series. Dies Irae appears ten thousand years later as a Chaos Titan that played a major part in Graham McNeill's Storm of Iron novel, written long before the Heresy novels.
However, could be justified that this a Chaos titan, and that the power of Choaos has helped to maintain the titan all those years.
One of the first Ciaphas Cain books makes reference to there being record of a Commissar who held the dual rank of Colonel-Commissar, a Shout-Out to Abnett's Ibram Gaunt.
Discworld has quite a few. One of the bigger ones is a scene in Making Money where Moist is told "You can walk out of that door over there, and the matter will not be raised again." As the last time this happened, the door opened onto a very deep pit, he is a little wary. It is, in fact, a normal door.
This crosses through different protagonists' books. In Thud!! Vimes is complaining about "that pea-brained idiot at the post office" (Stanley Howler, Head of Stamps as of the end of Going Postal), whose cabbage-scented stamps apparently ran into a few unforeseen problems, and in Making Money Moist briefly apologizes to Vetinari about the cabbage stamp debacle when trying to think of reasons Vetinari might have wanted to meet with him.
In Night Watch, the entire plot is set in motion by lightning striking a particular house as Vimes falls the University library roof straight into L-Space. This doesn't seem especially meaningful, unless you've read Thief of Time, and know that lighting bolt stopped time and 'eventually' shattered time into a billion pieces, with Vimes apparently being missed (probably due to him being inside L-Space) as it got put back together.
A scene in Thief of Time nods 'back' in reply, as characters from TOT notice there's a fight going on in Sator Square that is the aftermath of the action at the very start of Night Watch. Which makes sense as we're observing it about 5 seconds later.
Also, in The Truth Vetinari asks William if Dibbler had had any managerial position of the press. This makes sense when you realize that Dibbler has almost destroyed Ankh-Morpork several times this way: In Reaper Man he had the snow globes, in Moving Pictures there was the "clicks", then in Soul Music there was Music with Rocks In...
The Dark Morris Dance from Reaper Man later appeared in Wintersmith as a key plot point. Also, Wintersmith ends with Rob Anybody of the Nac Mac Feegles struggling to read "Where's My Cow", Sam Vimes Jr's favorite book from Thud!.
Nick Hornby makes nods towards his other novels:
In About a Boy, Will shops in the record shop from High Fidelity.
In How to Be Good, one character lives in a flat in the same building as an employee of the same record shop.
In A Long Way Down, a character from How to Be Good has a show on Martin Sharp's terrible cable TV channel.
In the Sherlock Holmes stories, Dr. Watson was fond of making references to other cases Holmes had worked on. While many of these were to incidents that Conan Doyle never based stories on, a few were references to other stories found in the Sherlockian Canon.
In John Mortimer's Rumpole of the Bailey stories, Rumpole (the first person narrator of all but a few of the stories) often makes reference to other cases he's worked on (with Mortimer going so far as to add footnotes referencing the title of the story, the title of the compilation volume in which it appeared, and the page number it started on).
The Rumpole series is also noteworthy for perpetrating what may well be the greatest Noodle Incident / Continuity Nod transformation in the history of literature. For years, in just about all of the stories Rumpole would reference his greatest case, "The Penge Bungalow Murders" (which, as he often noted, he tried "alone and without a leader"). Finally, nearing the end of his writing career, Mortimer finally wrote the novel Rumpole and the Penge Bungalow Murders, neatly turning that Noodle Incident into a Continuity Nod.
In the novel Cetaganda, from Lois McMaster Bujold's Vorkosigan Saga, Miles was on the titular planet to attend a state funeral, and was talking privately with one of the keepers of the Star Creche, haut-lady Rian. The discussion is interrupted by a call to Rian from a Cetagandan agent, ghem-Colonel Millisor about tracking down some useful genetic line. Millisor was the antagonist of an earlier novel, Ethan of Athos, which took place at the same time but was written ten years earlier. The plots have nothing to do with each other outside of this one call, though Miles does note that this will be a useful fact to distract Illyan with when he gets back to Barrayar and has to report. Presumably this led to the events of Ethan of Athos, which in turn led to the mission Miles gets sent on in the short story "Labyrinth", which introduced several major supporting characters.
That story results in him being given, in his words, "a lead weight, suitable for sinking small enemies." (The Cetagandand Order of Merit - their third highest honour). Ivan asks if he'll ever wear it, and he says only if he ever needs to be really obnoxious. In Memory the need arises, and it is briefly commented on.
Also, in both Komarr and Diplomatic Immunity reference is made to his mother's infamous "shopping trip."
The Lord of the Rings, in addition to many more or less obscure allusions to events from The Silmarillion and The Hobbit, manages to do an odd little in-universe continuity nod as Sam realises that he is indeed part of the same continuity, which are legends to him.
"No, sir, of course not. Beren now, he never thought he was going to get that Silmaril from the Iron Crown in Thangorodrim, and yet he did, and that was a worse place and a blacker danger than ours. But that's a long tale, of course, and goes on past the happiness and into grief and beyond it - and the Silmaril went on and came to Eärendil. And why, sir, I never thought of that before! We've got - you've got some of the light of it in that star-glass that the Lady gave you! Why, to think of it, we're in the same tale still! It's going on. Don't the great tales never end?" (The Two Towers, "The Stairs of Cirith Ungol")
Artemis Fowl gets a very nicely hidden one. For those who read second book enough, they'd realize that the 6th book revolves around something very briefly mentioned in the 2nd on page 120.
... "My father, though some of his ventures were undoubtedly illegal, was... is... a noble man. The idea of harming another creature would be repugnant to him." Holly tugged her boot from eight inches of snow. "So what happened to you?" Artemis's breath bloomed in icy clouds over his shoulder. "I...I made a mistake."
Artemis briefly mentioning the event that the 6th book's plot revolves around.
Without foreknowledge, the "mistake" he was referring to could just as easily refer to him abducting Holly.
Understandably, this happens in every single The Hardy Boys book ever.
H. Beam Piper example: in Uller Uprising, there's a romance between General Carlos von Schlichten and his adjutant, Paula Quinton. In Federation, the short story "Oomphel in the Sky" has a reference to a Paula von Schlichten Fellowship.
Pelevin's The Sacred Book of the Werewolf contains several references to his earlier "A Werewolf Problem in Central Russia", and implies that Alexander in The Sacred Book of the Werewolf and Sasha in "A Werewolf Problem in Central Russia" are the same person.
Used in-universe in Watership Down, in the legends of El-ahrairah. In the "Black Rabbit of Inle" tale, the folk hero's whiskers are gambled away, then re-grown at the end. Days later, as he's beginning the "Rowsby Woof" story, Dandelion mentions El-ahrairah's new whiskers.
Used extensively in the Age of Fire Series. The three separated siblings often her tales and legends of other's feats, factions from previous stories reappear and affect others, and some recurring characters are met by all 3 siblings.
Jon Snow's advice to Arya in book 1 of A Song of Ice and Fire to "stick them with the pointy end" of her sword is referred to by both of them throughout the series.
Daystar has several references to the earlier books in the series, including a passing mention of Firebird wearing a "gold bird pendant" which is presumably the eagle pendant Brennen's older brother gave him when they were both children and which Brennen had carried with him for years, and the fact that Tel Tellai married Esme Rogonin, whose friendship we see beginning in Crown of Fire.
It's not uncommon for stories in the Cthulhu Mythos to make reference to one another in some way with varying degrees of subtlety. When it's not bringing in one of Lovecraft's monsters, this can range from using common elements (i.e. the Necronomicon, referred to frequently by Lovecraft and used just as often by other writers) to referencing the events of specific stories.
Nnedi Okorafor is fond of doing this, using references to her made-up world Ginen to loosely tie together Zahrah the Windseeker (set on Ginen), The Shadow Speaker (set partly on Ginen), Who Fears Death (the heroine finds a book about Ginen), and Akata Witch (the heroine's knife was probably made on Ginen).
In the Rainbow Magic series, fairies the girls have met before will show up, and previous books' events are mentioned.
Jack Frost's disguise in the Superstar Fairies series is a rapper. He rapped in the movie.
Towards the very beginning of Magician, the first book of The Riftwar Cycle, Pug is named squire of Forest Deep. In King of Foxes, the 20th book, an agent is told that if he needs to contact the Conclave of Shadows, he should address a message to the Squire of Forest Deep and give it to a certain person. This may not be a code phrase. Pug is the head of the Conclave, and when he renounced his title as Duke of Stardock, he did not renounce his other title, that of "Squire of Forest Deep".
Various James Bond novels have mentions of Bond's previous adventures. Most common references are his short marriage from On Her Majesty's Secret Service and his various run-ins with the criminal organization SPECTRE.