Ogre Battle 64: Person of Lordly Caliber (N64)

Cross-Series (Kartia/Rhapsody): Some of the randomly-generated character names are references to characters in other games published by Atlus. One is "Lacryma" from Kartia, and another is "Crowdia" from Rhapsody.
Status: TRUE: Verified by FO.

Cross-Series (Super Mario Bros.): I've also seen the names "Mario" and "Kong" appear, which are probably references to the Nintendo characters. (Nintendo published the game in America.)
Status: TRUE: Verified by FO.

Omikron: The Nomad Soul (DC)

Famous Person (David Bowie/Iman): David Bowie stars as two main characters in this game, the lead singer of the Dreamers and Boz, and his wife, Iman, makes a cameo as a playable character.
Status: TRUE: Verified by FO. I should also note that one of David Bowie's songs in this game, "Something in the Air", was used for the end credits of the movie, Memento.

Outrun (Multiplatform)

Cross-Series (Various): Sega jumped on the billboard bandwagon by placing billboards promoting their other arcade games throughout the game. Example: Hang On. (Credit: Dire 51)
Status: Unverified

Out Zone (Arcade)

Cross-Series (Zero Wing): The first level has Toaplan's grape-looking mascot from Zero Wing hidden in a rock. (Credit: rockmanzallz)
Status: Unverified

Cross-Series (Sky Shark): The second level has Sky Shark's WWII biplanes that come and help you when you shoot the bushes in a certain order. (Credit: rockmanzallz)
Status: Unverified

Cross-Series (Truxton): On level four, the Truxton ship will come and help you when you destroy the first barrier. I don't know the conditions needed to do so, I accidentally did it one day. (Credit: rockmanzallz)
Status: Unverified

Cross-Series (Zero Wing): And if you keep your character alive long enough, the Zero Wing ship (Zig-01) flies across the screen, and leaves a trail of 5000 point markers behind when you shoot it. (Credit: rockmanzallz)
Status: Unverified