South Park: Bigger, Longer & Uncut is in canon with the rest of the series. The back of the DVD case claims that "unlike most other movies that got their start on the silver screen, [this one] doesn't suck." (Stephen Sondheim is known to have sent the shows creators a letter congratulating them on the film's musical score and calling it the best musical he'd seen in over a decade.)
To be specific, the reference is in the form of a two part episode, resolving the question of what happens to the relationship between Saddam Hussein and Satan. Satan has started to date another guy, but by the end, he decides to stay single. There is also mention of the US-Canada war and Terrance & Phillip's near execution in "Terrance & Phillip: Behind the Blow."
Three-part Emmy winning story arc South Park: Imaginationland has been edited into a full length film. (Indeed, it was originally intended to be a second film before being split into episodes instead.)
In an episode of The Weekenders, in which the title characters adore a punk rock band called "Chum Bucket", Tino mourns that he must spend time with his geeky cousin and cannot go on opening day with the rest of the gang to see "Chum Bucket: The Movie". Lampshaded even further when he's talking to them on the phone and hears them in an arcade playing "Chum Bucket: The Movie: The Game."
Justice League: Crisis on Two Earths was conceived as a movie, titled Justice League: Worlds Collide, that would form a bridge between Justice League and Justice League Unlimited. The project ended up being put on hold and was finally released long after Unlimited had ended, with an entirely different art style and no continuity ties. There are however little traces of the continuity links from the earlier drafts, such as the League only having six members (Hawkgirl quit the team in the series finale of Justice League) and the members of the League debating whether or not they should expand their roster.
Spoofed in The Simpsons with "Itchy & Scratchy: The Movie". In the fullness of time, The Simpsons Movie came to be, reversed some of the worst horrors of Flanderization and inflicted Spider-Pig upon the world. And of course, sparked much debate on whether it sucked or ruled.
Also Lampshaded when Homer criticizes the audience for paying money to watch something they could get for free on TV, as quoted on the main page.
Another in-universe example: "Angry Dad: The Movie".
According to Word of God, Butch Hartman wouldn't have any trouble giving this treatment to Danny Phantom (the four 1 hour specials don't really count). However, due to the Executive Meddling that ended the series while it was still in its prime, it is unknown at the moment if they will green light the project.
G.I. Joe: The Movie was supposed to get a theatrical release, but due to the box-office failures of the Transformers and My Little Pony movies, it ended up being a straight-to-video release instead. The Movie was suppose to kill off Duke in order to set the tone apart from the first two seasons of TV series (where the Nobody Can Die rule was played straight). But due to the fan backlash of Optimus Prime's death in Transformers: The Movie (which was actually inspired by the decision to kill off Duke), Duke's death was quickly revised thanks to some last-minute dubbing (he ended up "falling into a coma" and recovering off-screen).
The Wild Thornberrys has three movies - a made for TV movie explaining the origins of Donnie, as well as a theatrical release. The second theatrically released movie was a crossover with Rugrats. One thing that's interesting to note is that unlike most examples of these, the first two movies are considered to be within the show's canon - and the later seasons of The Wild Thornberrys had multiple call backs to the movie.