the Sherlock Holmes series;
the James Bond series;
Poul Anderson's Technic History;
Anderson's two Operation... novels, which are part of his Old Phoenix sequence.
Now, by including a few other works by Anderson, we can draw some connections:
Anderson's Time Patrol series refers to Sherlock Holmes as if to a fictitious character;
however, it also refers to "real" persons who answer the descriptions of Holmes and Watson!;
characters answering the descriptions of Holmes and Watson visit the Old Phoenix at the end of Anderson's A Midsummer Tempest;
Anderson's "The Queen of Air and Darkness," which is part of his Rustum future history, features a descendant of Holmes;
Anderson's "The Word to Space" features a descendant of Holmes' opponent, Moriarty;
Anderson's "The Martian Crown Jewels" features a Martian equivalent of Holmes;
Anderson's The Corridors Of Time refers to James Bond as to a fictitious person;
Dominic Flandry in Anderson's Technic History is a sexually active secret agent but otherwise unlike Bond;
Anderson's There Will Be Time refers to an English writer who sounds like HG Wells;
A Midsummer Tempest is a sequel to two Shakespeare plays;
Anderson's Hrolf Kraki's Saga retells a saga;
Anderson's The Broken Sword is a sequel to an Edda and a saga (see here).
As ever, this list grew as it was written.