Cracked.com made a very solid argument for Buffy, Angel, and Firefly all being in the same universe, with Cabin In The Woods as the lynch-pin tying Firefly to the first two. I want to say Dollhouse may have also been tied in to that. The idea was that one or several of the (many) behind-the-scenes semi-official organizations that typically turn up in Joss Whedon’s shows (Watchers, Wolfram and Hart, SHEILD, etc.) pulled together the resources to bug out of Earth when things eventually go bad.
Also, just because I’m a smartass, I’m gonna say Stargate SG-1, Stargate: Atlantis, and Stargate Universe may all take place in the same setting. The film version of StarGate is problematic for various reasons (produced by a different crew for one thing), and Stargate Infinity is right out.
To add onto the above, I’ve seen fun theories in various places that point out that the film version of StarGate ties in easily enough with Independence Day (made by the same people). With some relatively minor script rewrites, it’d be very easy to have produced ID4 as a straight sequel. Just replace Adam Baldwin with Kurt Russel.
I want to say that Robocop and Terminator is semi-canon, and at least a game attempt was made at tying them into the Alien universe. But then again, that’s all in the comic books, where pretty much everything goes.
Thanks to the magic of network cross-marketing, there is an official link between Street Fighter, Savage Dragon, Wing Commander, and I want to say Mortal Kombat (or at least, their animated continuities), though explicitly not being in the same universe (there was a universe-hopping Thor-esque guy trying to recover a lost MacGuffin that his world needed to survive, to make things more confusing, he’s pretty certain he knows one of Christopher Blair’s ancestors, but they never elaborate on that). All of the aforementioned (very good) cartoons aired on the USA Network’s saturday morning lineup.
I like to joke that Dune takes place after Terminator, with the Butlerian Jihad just being a very poorly remembered and much elaborated over time version of the War Against the Machines.
Also, EA used to have a lot of fun shanghaing their various game licences into a fun crazy cross-referencing multiverse. Off the top of my head, Strike Commander and Crusader both take place in Wing Commander’s history, while System Shock, Bio-Forge, and a few other games exist within the Wing Commander universe as movies or other media, and vice versa.
There used to be a fun theory (with lots of in-universe hints) that Halo took place in the Marathon universe (and I’m told that Marathon took place in the same universe as Pathways Into Darkness). Around Halo 2 or 3, Bungie decided it’d be better to just split it off entirely and let Halo be it’s own thing (albeit with lots of meta-references to Marathon. You used to be able to make a drinking game out of the Marathon logo popping up all over the place in Halo games)