Peter David loves to cross media with these. Trans-Sabal from Marvel Comics shows up in his Arthurian trilogy. And then there's Morgan...
Stephen King often inserts Mythology Gags in his novels, making brief, casual, and usually vague references to events or characters from a previous novel that might not have absolutely nothing to do with the current novel whatsoever, but that fans of King who have read most of his novels would easily be able to recognize.
For example, the novel Needful Things includes bully Ace from the novella The Body and references to the novels Cujo and The Dead Zone. This makes sense as all of these events occur in the same (fictional) town.
In The Dark Tower novels, elements from many of his earlier books appear, with such frequency that by the end of the series the reaction has accelerated into full-blown Canon Welding.
Dolores Claiborne is possibly the strangest example of this, as the titular character experiences a brief psychic connection with the protagonist of Gerald's Game, to whom she has no other connection at any time.
This connection happens on July 20, 1963, during a total solar eclipse, which makes it a real-life Shout Out to an actual total solar eclipse that went across Maine on July 20, 1963.
Insomnia contains a good deal of this, including numerous references to The Dark Tower, but the one that stands out the most is when the protagonist finds a pair of shoes belonging to the little boy who died from Pet Sematary.
Pet Sematary itself contains a passage where a character mentions that it used to be legal to keep animals like raccoons as pets in the area, before there was an incident involving a rabid dog.
In Tommyknockers, one character hallucinates Pennywise the Clown from IT while driving through Derry.
And in IT, a scene involves Dick Halloran, the cook from The Shining.
Also in Dreamcatcher, one of the main characters heads to Derry and finds the phrase "Pennywise lives" scrawled on the monument dedicated to the Loser's Club, which was the title the main children gave themselves in IT.
In Bag Of Bones, it's revealed that Thad Beaumont, the protagonist of The Dark Half, committed suicide.
Desperation and The Regulators were published simultaneously (by King and his alter ego, Richard Bachman), and thus the characters, settings and plot are connected and have a lot of overlap. However, both novels also feature a character called Cynthia Smith, who mentions briefly in Desperation that her nose was broken by a bad man. Cynthia was a secondary character in King's previous novel Rose Madder, in which the assault took place.
The villain of The Eyes of the Dragon is Randall Flagg of The Stand, using a different name.
The new The Hitchhiker's Guide to the Galaxy novel, And Another Thing... opens with Arthur, Ford, Trillian and Random experiencing false lives, before learning they're still on Earth, and it's still being destroyed by the Grebulons (as seen in Mostly Harmless). When describing her hallucination, Trillian claims they were rescued from Earth by the Babel Fish, which transported them to Milliways. This was the bonus "they're not really dead" ending of The Quintessential Phase of the radio series.
The wonderfully meta introduction to said book may also count, as it alludes to the "trilogy in threefourfive six parts", as well as the franchise's radio, television, film and stage productions.
Wicked, in novel form, makes a lot of minor references to the oft-ignored rest of the Baum series. Perhaps most notable is naming the deposed Ozma (there's more than one in the series) "Ozma Tippetarius": Tippetarius, or Tip for short, being the name of the gender-bent disguise of Ozma from The Marvelous Land of Oz.
The novelization of The Texas Chainsaw Massacre remake reveals Erin's last name is Hardesty, which was the surname of the heroine from the original 1974 film.
The Artemis Fowl Files (a companion book) is dedicated to "Finn, Artemis's best friend." Finn is the surname of the main character of The Wish List, and also a false surname that gets used in Airman.
In the BIONICLE children's book Desert of Danger, Mata Nui first tries to defeat a sand bat by knocking off it's mask, which was a very common theme back when the toy-line first started. Another character instantly points out that in this new world Mata Nui found himself in, animals don't wear masks. Even so, the book's artist did use an older bat-themed mask as a reference for drawing the sand bat's head.
In Star Trek: Ex Machina, McCoy, exasperated by the sheer diversity of aliens on the refit Enterprise, sarcastically asks what’s next - hortas and glass spiders? Those readers familiar with the works of Diane Duane will get the joke (a reference to two of her characters, crewman Naraht and K’t’lk).
Pick a Sherlock Holmes pastiche, adaptation... anything about Sherlock that Doyle never wrote. It is an absolute guarantee that there will be at least one of these.
There's a sort of meta-Mythology Gag in the Past Doctor Adventures novel The Indestructable Man, which pastiches all Gerry Anderson's work (except Space Precinct). In UFO, SHADO's Front Organisation was a movie company, because it meant they could save money by filming backstage at Pinewood Studios. In the book, SILOET's Front Organisation is the British TV and Film Corporation, based in Shepherd's Bush, meaning that if it was a real episode of 60s Doctor Who, they'd use The BBC Television Centre for the same purposes.
The Virgin New Adventures novel Conundrum by Steve Lyons made the 1960sDoctor Who comics stories a product of the Land of Fiction. (One story in Doctor Who Magazine would later feature those stories as another product of the Doctor's imagination.)
