How can we forget Galaxy Quest, about Tim Allen and the other stars of a TV series with the same title?
And “Wormhole X-Treme”, in “Stargate SG-1”.
Tales of the Black Freighter.
It also mentions a few other pirate comics (in the fictional reference Treasure Island Treasury of Comics) put out by EC - Piracy, and Buccaneers - and the novel (later movie (twice)) Fogdancing, written by the writer who did most of the Black Freighter stories. (The only fictional writer mentioned in that section.)
Sandman also has Ultraman (I think…something like that), the Superman analogue that Wanda read when she was a kid.
The works of that Romance Era poet William Ashbless are known to exist only in the mind of Tim Powers.
Podkayne, FWIW, The Stone Pillow is listed in some of Heinlein’s own charts of his Future History stories. He never seemed to find the story that interesting to write, but was supposed to be a telling of how the US became Nehemiah Scudder’s personal ballywack.
A bit late to this thread, but thought that people might be interested in The Invisible Library.
A slight nitpick but the plot of Grasshopper doesn’t parallel our world except for the Axis losing WW2. At the end of the book The U.S. and Britain are at each others throats, Russia is divided into U.S. and British protectorates, Italy fights for the allies, Hitler is captured and tried, and race relations in the U.S. are resolved by the 1950’s.
Can’t think of any. 
But… but… but… isn’t that a work of non-fiction in a work of fiction?
[QUOTE=betenoir]
Of course there’s the book (what was it called? I’ve only read 1984 500 times!) that O’brien gave Winston./QUOTE]
The Theory and Practice of Collective Oligarchy Or some such.
In what work of fiction does the fictional non-fiction book (Somebody’) Guide to Refreshing Sleep, Volume 7 appear?
And there is of course the King in Yellow, mentioned in the Yellow Sign series of short stories.
And the whole lot of “Bunny-Wunnies” books which Snoopy adores Peanuts.
Just a very brief hijack - what will be the copyright implications if someone tries to write a book, using one of those forementioned titles?
There were several paintings and plays in Memoirs of a Geisha, that don’t actually exist. What I thought of immediately was the play put on by the actors in A Midsummer Night’s Dream. Pyramus and Thisbe? Something like that.
A.S Byatt’s Possession is all about the works of a fictional poet.
The Great Gatsby is prefaced with some verses attributed to a fictional character, Thomas Parke D’Invilliers, from an earlier book by Fitzgerald.
In one of Spider Robinson’s books, he references a lost Heinlein book called On Golden Wings, or something like that. It’s the tale of Lazarus’ grandfather.
Sophie’s World is the book that Hilde read in the book Sophie’s World.
Pyramus and Thisbe is a real work of literature, though I don’t know whether it was ever put into play format.
"Multitudes Multitudes" A war novel the treacherous Keefer is witting in Herman Wouk’s The Cain Mutiny.
BTW “A Fall of Moondust” is may favorite Clarke novel.
And there’s the William Ashbless, probably the most prolific poet never to have existed.
Yup! Hyperman (I recently re-read A Game of You). I can’t remember many titles from the Library of Dreams, but IIRC, one was The Man Who Was October by G. K. Chesterton - similar to The Man Who Was Thursday? And another was That Spy Novel I Was Always Going to Write That Would Make Me a Million Dollars written by, well, you. (BTW, you need to put in some work on the title 
)
The Library also had a works of non-fiction about fictional places inside the Sandman work of fiction - hmmm, hard to say whether those count. 
Just to clarify: those fictional places were not just fictional because they were in the fictional Sandman, they were fictional as opposed to the fictional non-fictional… aah, I give up!