Don Rosa's epic comic book series The Life and Times of Scrooge McDuck, in which he carefully explains every single reference to the events of Scrooge's early life that Carl Barks ever made. Incredibly, despite Rosa's severe obsession with continuity, he still manages to tell a fantastic story at the same time. In his commentaries, he discusses the issue of how Barks kept changing the dates and timelines, and how many issues relating Scrooge's turn from a villain-character into a hero posed problems. He managed to insert some of them, like how Scrooge McDuck, who made his entire fortune square nevertheless managed to be a ruthless robber baron in Africa, but others he just gracefully ignored, such as a magic timeglass that was claimed to be the origin of Scrooge's wealth in one Barks story. If there's a lesson to be learned from these compromises, it is that knowing when to temper Continuity Porn with Broad Strokes helps make a great story.
In general, most of his stories have loads and loads of Continuity Nods.
Phantomius, Gentleman-Thief, a prequel to the Duck Avenger stories set in the 20's, is both a well of clever Shout-Outs to crime literature of the time, and of big amounts of Continuity Porn regarding the past of Duckburg.
The DuckTales comic arc Rightful Owners, written by Warren Spector, is sort of a Don Rosa wannabe. The story tries to enforce that the classical comics, DuckTales (1987) and Darkwing Duck all take place in the same continuity (a fact that is the official stance of Disney, but is severely hit by Fanon Discontinuity) through absurd amounts of (sometimes clever but often random) continuity references, but (in part because of Executive Meddling) none of it is very understandable, leading to the story not being very well-liked.
Hellboy. One of the great things about the series is that its rich interconnected story rewards those who know the fine details of the Canon. The downside of this is that Hellboy's continuity spans 16 years worth of miniseries and one-shots spread out across five different comic series. That is a lot of baggage for the casual reader to unpack. An example of this problem is readers can only understand that the old man speaking to Gruagach in issue two of Hellboy: The Wild Hunt is the demon lord Astaroth if they read Hellboy: Box Full of Evil issue two (published about 8 years before Wild Hunt), which then means that Hell has offered its tacit support to the Queen of Blood and suggests that things are going to get much worse. For the informed all of this is implied without being stated, to the detriment of those who are only now entering the series. The best way to read the series is in trade paperback form from start to finish, or better yet with the oversized Hellboy Library Editions.
JLA/Avengers. It's pure nerd pornography from start to finish, from both universes — no surprise, since it's by Kurt Busiek. He and George Perez were quite proud of managing to fit in every character who had ever been a member of either team.
The Conan the Barbarian one-off story Mirror of the Manticore in Savage Sword of Conan 58 exists only to explain how Olgerd Vladislav's hand, broken by Conan in A Witch Shall Be Born, can be whole when Conan kills him next time they meet.
Star Trek: Countdown, the prequel (or sequel???) to the 2009 film actually plays as a Mind Screwdriver for the fans. The author brilliantly bridged the event between the TNG saga and the new Alternate Universe to make the new film fit into Star Trek canon. The appearance of the TNG cast just screams for a nerdgasm from the Trekkies.
Parodied, as you might expect, in the comic books supposedly from The Simpsons' Radioactive Man''. One issue features a Golden Age version and a more recent one. In the former, a letter writer praises the comic but notes various tiny disparities, like the changing number of steps on a staircase. In the latter, he's credited as the writer/artist of the story, and letters praise him for having explained the changing number of steps, among other issues.
Sin City has a tight-knit continuity. Usually, every story will have at least one scene at Kadie's Bar which shows several characters in the background making references to past events. It is also common to see the same scene played more than once in different stories but from different characters' points of view. Also, it's not uncommon for a character to mention a certain event, only for that event to be played out in another story due to the series' Anachronic Order.
The Doctor Who (Titan) Twelfth Doctor story "The Wolves of Winter" is a prequel to the 1988 TV story "The Curse of Fenric", that is very difficult to understand if you haven't seen it, and which also features both the Ice Warriors and the Floodnote A Monster of the Week from the Tenth Doctor TV episode "The Waters of Mars". This is particularly questionable since it's the first appearance of the contemporary TV companion Bill in the comic series, and hence probably should have been more of a Jumping-On Point for casual fans.
Doctor Who: Prisoners of Time: Within the story there are actual appearances from all 11 Doctors, their TV companions and Frobisher. Also has appearances from a variety of villains and aliens.
A panel in #2 has a crowd containing a Voord, Raxacoricofallapatorians, and a Sontaran.
When Adam is researching the Doctor the statue of the Tenth Doctor and Donna as Household Gods from "The Fires of Pompeii" is shown.
The Spirou & Fantasio book Aux Sources du Z involves time travel to Spirou's previous adventures, including some by oft-forgotten authors.
