Most Pixar films use a variation of this: in most of their films, if you look very closely at the backgrounds in some scenes, there will inevitably be an element from another Pixar film hidden somewhere-not just with their past films, but also their future ones as well.
In the first Alien vs. Predator film, the expedition to Antarctica was financed by the Weyland Corporation and includes Charles Bishop Weyland himself. In Aliens vs. Predator: Requiem, the Predator's plasma gun is turned over to the obviously very-well connected Ms. Yutani. As every fan of the Alien series knows, Weyland-Yutani was the major corporation in the background of the films, at the time of Alien³ led by the obviously many time great Identical Grandson of Charles Weyland and the model for the Bishop androids (with Lance Henrikson playing all three roles).
Every movie to date has included someone's remarkable survival and escape from an isolated island being explained as "Sea turtles, mate!" Except that in two of those cases we actually know what happened, while the dog's survival into the third movie is never explained.
Another one comes in the second movie, when Jack Sparrow says that Will Turner has a "lovely singing voice" because he's a eunuch (he's not). This is a nod to the first movie, which had multiple jokes about Will being a eunuch.
In On Her Majesty's Secret Service James Bond resigns and is cleaning out his desk. He takes out Honey Ryder's knife and belt from Dr. No, Red Grant's garrote wrist watch from From Russia with Love and the aqua breather he used in Thunderball. All this while as music from each of the previous movies are played for each item. Perhaps this was a way of establishing that the new 007, George Lazenby was the same Bond of the previous adventures where he was played by Sean Connery.
Also, at one point, Bond, masquerading as a Russian physicist, is challenged, in Russian, about his good English. He responds, in reasonably fluent Russian, that he studied in Oxford. Book!Bond did study at Oxford, and graduated with a First in Oriental Languages.
Serenity has an extremely subtle continuity nod during Mal's Shirtless Scene, where one can see a small vertical scar on his upper right chest. This is the same scar he picked up in "The Train Job" when Crow threw a knife at him and hit him in that spot. There's also a scar in the center of his chest from the torture device in "War Stories".
In Speed 2: Cruise Control, a cruise liner crashes into and demolishes an expensive boat belonging to the same guy whose sports car Jack (Keanu Reeves) wrecks in pursuit of the bus in the first movie. And Alex commandeers one of the guy's smaller boats to save Annie.
Similar to the Batman example above, the 2007 TMNT movie had a scene near the end where Splinter had set up a trophy room. Shredder's helmet and various other artifacts from enemies of the previous three live-action films could be seen on shelves.
Mark from The Gamers shows up a couple of times in the second movie and makes references to it.
Kevin Smith's movies, particularly those set in The View Askewniverse, are full of Continuity Nods, with characters frequently making reference to events, characters, or relatives of characters that have either happened or been alluded to (or will be) in other movies.
The 2009 Star Trek movie features a brief reference to Admiral Archer, who keeps beagles, an obvious reference to the star of Star Trek: Enterprise (and his owner, Captain Archer).
Also, one of the members of Kirk's disciplinary board is an Admiral Komack - which was the name of an Admiral in TOS.
A lot of nods in Star Trek: during the Kobayashi Maru test, Kirk is eating an apple nonchalantly. In The Wrath of Khan, Kirk tells Saavik how he beat the test—while eating an apple. Though according to the DVD commentary on the 2009 film, this parallel was unintentional.
There's a blink-your-ears-and-you'll-miss-it call for Nurse Chapel at one point.
The Lord of the Rings films feature several nods to other books by Tolkien (though sometimes only in the EE): the allusions are much more explicit in the books, but in the films they can be easy to miss or obscure. See for instance the trolls (from The Hobbit) which are glimpsed in FotR and Aragorn singing the Lay of Luthien (from The Silmarillion).
In Rocky II, Rocky takes Paulie's old job at the meat packing plant. During a montage of him doing grueling, manual work there Rocky playfully hits a hanging side of beef like he did to train for his fight with Apollo in the first movie.
Rocky Balboa is full of these. Almost every (surviving) character who appeared in the original film (Little Marie, Duke, Spider Rico, Andy the bartender) returns. In a deleted scene (cut because of disagreements with Carl Weathers), Rocky has a photo of Apollo Creed in his house. It's mentioned in dialogue that Rocky's statue (which was unveiled in Rocky III and seen in Rocky V) was removed from its place at the Philadelphia Museum of Arts. The film opens with the song "Take You Back", which was performed in the original film by Frank Stallone. Finally, the training sequence once again has Rocky run through a Philadelphia park and up the Philadelphia Museum of Arts set of steps.
Airplane II: The Sequel. While talking to Buck Murdock on the radio, Ted says "Roger, Murdock". Roger Murdock was the character in Airplane! played by Kareem Abdul-Jabar.
Mission: Impossible III makes use of "The Plot," a music cue by Lalo Schifrin from the original series that is only familiar to fans.
Predators had the female lead make a mention of the first Predator and about the story of how Arnold Schwarzenegger's character, Dutch, managed to defeat a Predator after it slaughtered his entire team.
In the original Halloween (1978), Laurie mentions having a crush on one of her classmates Ben Tramer. In the sequel, the police accidentally kill a costumed teenager after mistaking him for Michael Myers. Turns out that poor teenager was Ben Tramer.
Quentin Tarantino's films are full of in-universe references. Characters from distinct films can be members of the same family (most famously the Vega brothers, but Donny "The Bear Jew" Donowitz from Inglourious Basterds is the father of film producer Lee Donowitz from True Romance). A particularly obscure example is found with Jules' from Pulp Fiction, who quotes the same bible verse before killing people as did the Hatori Hanzo in the Japanese TV and film series, Shadow Warriors (Kage no Gundan), which starred Sonny Chiba. Hatori Hanzo, once more played by Chiba, is the sword smith who appears in the Kill Bill films, bringing the reference back around.
In RoboCop 2, the titular character brings a Cobra Assault Cannon (the weapon used by Boddicker and his gang in the first film) to the final showdown with Cain, but it is swiftly rendered useless after the bullets fail to impede the killer cyborg.
In RoboCop 3, the "I'd buy that for a dollar!" television host is seen in a brief cameo, while an OCP officer named Cecil (who attempted to stop the officers from destroying Robo in the OCP parking garage during the first film) returns as an officer who walks out on OCP and helps Sergeant Reed during the Splatterpunk attack in Old Detroit.
In Scream 4, a girl in the beginning gets crushed by a garage door, harkening back to a similar death from the first film.
In The Godfather, Enzo Aguello (a baker from Sicily) helps Michael Corleone when assassins attempt to kill Don Corleone at the hospital he's staying in, by standing guard outside the building and waiting for the police to arrive. He returns in The Godfather Part III as the man who bakes a cake for Michael when he receives the Order of Saint Sebastian.
Two very different films are established as being in the same 'verse by one of these. In John Landis's 1978's Animal House, the "what happened to...?" epilogue states that Neidermeyer was fragged by his own troops in Vietnam. In the segment of 1983's Twilight Zone: The Movie that Landis directed, the focus is on a particular group of soldiers, one of whom makes an offhand comment about having "fragged Neidermeyer".
During the final conversation between Tony and Nick Fury, a monitor displays a reporter doing live coverage of a "Crisis at Culver University." This is a reference to the Hulk's rampage about midway through The Incredible Hulk. The scene also establishes the relative timeframe of the two movies: it shows Stark accepting a job as a S.H.I.E.L.D. consultant, in which capacity he appears in the post-credits scene of The Incredible Hulk.
In one scene Director Fury tells Stark that has "bigger problems in the southwest region" than Tony. A nod to Thor, which is set in New Mexico (a.k.a. the Southwest).
The Tesseract also shows up in Howard Stark's notes.
The gun Coulson uses on Loki was reverse engineered from the Destroyer in Thor.
The Hulk can't lift Mjölnir because he isn't worthy.
Captain America, when first meeting Loki in Germany, notes that the last time he went to that location, he also had to deal with someone who believed he was higher than everyone else, referring to either Red Skull or Hitler.
When Thor shoots lightning at Tony, his suit absorbs the energy. The Arc Reactor itself was designed by Tony's father Howard after recovering the Tesseract, which is Asgardian in origin, and the lightning generated by Thor being absorbed by the Arc Reactor in Tony's suit seems to be another subtle nod to the connection between the two technologies.
The Mark VII Iron Man suit's shoulder-mounted micro missiles have the same kind of rocket flare, audio design, and look as the payload of the Jericho Cluster Missile from Iron Man.
Tony's line about bringing 'the party to you', which Natasha responds to, is a hugely delayed response to a similar line from Natasha in Iron Man 2, regarding the Hammer drones.
Loki flat out lampshades it when he traps Thor with an illusion trick.
The Hulkbuster armor likewise incorporates the technology of the Mark 42 from Iron Man 3, flying out of the sky to Tony's location in pieces and assembling around him. The main leitmotif from that film even plays briefly as he does this.
Tony is still suffering from the alien-related anxiety and PTSD he displayed in Iron Man 3. This plays a major role in the creation of Ultron and the new Iron Legion in the first place.
War Machine appears in this film as War Machine, not the America-themed Iron Patriot from Iron Man 3. Clearly all the jokes at his expense in that film convinced him to switch back to the classic look.
Near the start of the film, Sam Wilson shows up and is stated to still be searching for Bucky Barnes after the events of The Winter Soldier. It's revealed that he's doing this while Steve is otherwise preoccupied with his Avengers commitments.
Alex: Check it out. Brown shorts, red board, 11 o'clock. What do you think? Dylan: Yummy! Alex: That's what I thought. Case closed. Nat, move in. Dylan think's he's hot. Dylan: What do you mean? Alex: You always fall for the bad guy.
When Snow is giving a speech outlawing anything associated with the Mockingjay, his granddaughter can be seen undoing the Katniss-style hair braid he noted her sporting in Catching Fire. Creating some Fridge Horror when one remembers that the punishment for any symbol associated with Katniss or the rebellion is death.
The lethal venom stings from the first film are brought up again as part of the Hijacking brainwash method used on Peeta.
During the credits, Squidward does the dance from his act in "Culture Shock".
During the part where Plankton attacks the Krusty Krab with a pickle-firing tank causing Patrick to slam into a wall, he mutters "Finland...", which he similarly yelled in "Frankendoodle" when hit with a bowling ball.
Similarly, when Sandy orders from the Krusty Krab, she mentions "Hold the mayo," a reference to "Planet of the Jellyfish" where she mentions her dislike of mayo.
One of Spongebob's ways of stopping Plankton is with the reefblower from season 1.
Several one shot characters, like Flats the Flounder, appear in the background at various times.
Mr. Krabs' superhero form resembles the robot Krabs Plankton built in "Imitation Krabs".
During the rap battle between Bubbles and the seagulls, one of the seagulls uses a curse word, which is censored with a dolphin noise sound effect in a similar fashion to "Sailor Mouth".
The Krusty Krab's drive-thru system seems to have improved from the hole in the wall and tin can phone they had in the Season 8 episode "Drive Thru".
Plankton having trouble comprehending the idea of "teamwork" is similar to his difficulty understanding fun in "F.U.N."