I always liked the Splinter Cell Chaos Theory reference to Metal Gear.
Or the reference in Metal Gear Solid 3's Snake vs Monkey mode involving Splinter Cell and Syphon Filter.
At 1:41 Snake mentions Sam and Gabe, a reference to the two protagonist of those series.
Edit: Does your own series count because that's basically what chunks of Final Fantasy IX are, references or throwbacks to previous games from Garland, to the shop referencing Cloud to the line, "No cloud, nor squall shall hinder us." It's freaking full of them as one giant love letter to the games prior.