SiIvaGunner had a video called Theme Song - Caillou, a Nightmare Fuel-laden Found Footage parody. The title comes from the fact that one scene in the video shows a guy singing the Caillou theme while a kid can be heard screaming in the background. (The linked video is a reupload as it came to light that said clip reportedly came from a real child abuse video, so NSFL to an extent.) More information on the video here.
In the Family Guy episode "Stewie's First Word", Lois suspects that Caillou is responsible for Stewie's Precision F-Strike at the church the previous day, so she unwillingly watches a full episode to prove it. Of course though, she is returned with no evidence, since it's a kids' show and isn't supposed to contain profanity in the first place. And of course, Caillou's baldness becomes the butt of mockery in this episode. Later references include an in-series female narrator providing commentary over Lois' actions throughout the episode, causing Lois to snap at her, which is in reference to the female narrator of Caillou herself. Lastly, a Cutaway Gag reveals that Peter learned manners after hanging out with Caillou's dad, and it then shows the duo on a swing-set at the park, eating unsalted Saltine crackers. Peter remarks that Boris' sweater looks like what Rachel Maddow would wear to a pumpkin patch.
Robot Chicken: A sketch from "Hey I Found Another Sock" features a parody of the Caillou theme song called "I am Kaiju", featuring Kaiju dressed in Caillou's clothes. The song is sung by "Weird Al" Yankovic.