Silverlock by John Myers Myers, in which the protagonist A. Clarence Shandon is shipwrecked in the Commonwealth of Letters, where everywhere he goes and everyone he meets is a literary, mythical and/or historical reference. A fairly extensive list of specific references can be found here.
Spider Robinson's Callahans Crosstime Saloon series - including Callahan's Lady - contains cameos from characters created by crime writer Donald E. Westlake, SF legend Robert Heinlein, and even classic British humorist P. G. Wodehouse, all interacting with each other. (Most likely inspired by Heinlein's The Number of the Beast, mentioned above.)
Simon R. Green's Nightside take place in a secret city under London that's a giant crossoverfest. John Taylor, Green's protagonist, has met characters from all manner of books, movies, television shows, and other assorted places though they are largely referred to in vague, shadowy terms so he doesn't violate the copyrights too badly. There's everything from a Traveling Doctor who had a trick with celery to having to exorcise Kandarian demons from his answering machine to giant 'bears of little brain' that work for the auction house. For even more fun, representatives from most of Green's other series (the Deathstalker novels, the Darkwood books, etc) show up, waiting around to speak to Father Time.
While Neil Gaiman's short story A Study in Emerald is primarily a crossover between the works of H.P. Lovecraft and Arthur Conan Doyle, it contains subtle hints that characters such as Dracula, Frankenstein, and Dr. Jekyll also exist in the same universe.
And again in Roadmarks where Red runs across a short man with a small mustache whom Red refers to as "Adolph" driving a battered black Volkswagen, and later on in the book he makes a call to someone he calls "Doc", who is described as "A big golden-eyed guy with one hell of a suntan, wearing a torn shirt, and driving a hot little 1920's roadster" which could only have been Doc Savage. Doc Savage villain John Sunlight also makes an appearance.
Zelazny was a comic book reader and fan. In Blood of Amber Merlin has dinner at Bloody (Last Deceased Owner's Name)'s place—Boody Andy's at the time—while a gent (with a pronounced scar through his eye) eats at a neighboring table and warns Merlin to show a blade so the local roughs get no ideas. "Old John" was clearly John Ostrander and Tim Truman's mercenary John Gaunt (aka Grinner, Grim Jack) from Cynosure, a cross-dimensional city in a multiverse adjacent to Amber. The two roughs did not last the night.
Brazilian author Monteiro Lobato took this trope to insanelevels in his kid's books set in the Yellow Woodpecker Farm. The eponymous farm is an interdimensional nexus to, essentially, every fantasy and adventure fiction character ever written, including but not limited to the Greek Gods, Sherlock Holmes, the Neverland people, the Arabian Nights, the fables from Aesop, Grimm, Andersen, The Three Musketeers, medieval Knighs etc etc etc ad infinitum. He even managed to throw in some characters copyright laws didn't allow him to. To top if off, characters native to the series' own universe are not few in number.
L. Frank Baum did this in the fourth book of the Oz series, The Road to Oz, by inviting characters from his other books to attend Princess Ozma's birthday party, hoping to get his Oz readers interested in those other non-Oz stories. This included everybody up to and including Santa Claus (as in The Life and Adventures of). The implication, of course, is that every book Baum ever wrote takes place in the same universe as the Oz books.
James A. Owen's Chronicles of the Imaginarium Geographica does this with pretty much every major work of fantasy, history, and real life. It's awesome.
In Alethea Kontis's Enchanted, multiple fairy tales are true, from the red shoes that dance Tuesday to death, to Monday being the princess in the Princess and the Pea, to Sunday's meeting up with the Frog Prince, and the whole family living in what was once Rapunzel's tower.