It's pretty interesting to see games cross over and share the same universe but it isn't that common. Here's what I've gotten so far, anyone else want to add?
1. All the Final Fantasy games take place in the same Universe. In the games you can see that their world is referenced to end or actually does end and the next storyline is normally set in a "reset" world.
2. Mario and Donkey Kong. Don't know a lot about these two games but they do indeed share the same universe.
3. All the GTA games. Don't play a lot of GTA either but they do.
Also I'm not sure about this but I've heard that some Ubisoft games share the same universe but they could just be Easter Eggs.
I've played all ff's through 1 to 12 (except 4 and obviously 11). What do you base it on? The only connection that is hinted between two different games is 1 and dissidia
@thebluerabbit
I grew up with FF but I never actually followed the storylines much because I was too young but I'll do my best to explain now that I've started playing again.
FF games normally are set near in the end(Cloud) or the beginning (Lighting). Final Fantasy Agito/Type 0 directly reference the world ending and you play through it. From there you can see how all the worlds are connected and why they have similar terms, also in the Final Fantasy games with Lightning you can see that the city ruins are fairly similar to those found in Type 0.
EVE Online and DUST 514, the first one is a MMORPG on PC and the other is a FPS on PS3, both with the same producer, they can interact with each other, as seen on this video:
https://www.youtube.com/watch?v=kp2XvR7Kw-Y
The Assassin's Creed games and Watch_Dogs are linked. Look at the YouTube channel Game Theory, there's a theory about this on there, and they have a lot of other interesting theories.
Here are some games I know that are in the same universe:
1. Drakengard 2 - Nier - Nier Automata
2. Persona 3 - 4 - 5
3. Final Fantasy XIII, XV, and Type-0 cause they are titles with the same mythology as announced by Square-enix.
4. Final Fantasy VII and X/X-2. Why? Because of Final Fantasy X-2's Shinra. Final Fantasy X-2 is a very distant prequel of Final Fantasy VII. About 1000 years as announced by series writer Kazushige Nojima after someone found out this connection. Just look into Shinra's ambition and it's connection to the Shinra's Company in FFVII.