Hellboy (2004 film)/WMG

The Conqueror Worm and its brethren are some of the Ogdru Hem.
In The Island, the old man describes the creation of the world, the Ogdru Jahad, and its children, the Ogdru Hem: "The Watchers won their war against the Ogdru Hem. The Ogdru Hem were defeated--some torn from their bodies and cast out on the wind--some entombed in the Earth--but they all still live." In Conqueror Worm, the dying alien describes the worm and its kind: "if they ever had physical bodies they are rid of them now." Both groups share the same goal as well: to cause the downfall of Man, and to awaken the Ogdru Jahad.

There's also a paratextual connection: the Ogdru Jahad, the Sadu Hem, and the monster from "Goodbye, Mister Tod" are all compared to the monsters of H.P. Lovecraft by Mike Mignola (in the dedication of Seed of Destruction and an author's note in The Right Hand of Doom, respectively). And the dying alien says that the Worm is the same species as the monster that possessed Mr. Tod.

The one discrepancy is that the dying alien claims that the Worm and its kin are "older than this planet", while the old man claims that the Ogdru Hem were created shortly after the Earth. However, the old man also says that when the Watchers went to war against the Ogdru Hem, the Watchers "rained lightning down upon them and the whole surface of the Earth--until only the Ogdru Jahad remained." Perhaps this was cataclysmic enough that the Earth could be considered destroyed and recreated, thus the Ogdru Hem are older than this Earth.
 * Confirmed in the companion book.

The Aliens come from the distant future of the Warhammer 40000 universe.
Physically, they resemble the Tau, but they wear clunky, rivet-covered armor with lots of cables resembling Imperium tech & their weapons have a distinctly Necron look to them. Also, in the video game they speak with Eldar accents. (As in they are from the 40K universe, which is the distant future.)

The Hyperborean mechs are new bodies for the Ogdru-Hem who lost theirs.
They do seem to be turning into Ogdru-Hemmy things in The Warning. The Frogman "pilots" use their spiritual affinity for the Ogdru-Hem to draw the disembodied ones into the mech, where they corrupt it into hideous Kaiju-style monsters.
 * Pretty much confirmed in King of Fear--the mechs' purpose is to serve as incubation chambers for the Ogdru Hem.

Lobster Johnson & Liz are related somehow.
He does seem to be protective of her and he's got that burning claw gimmick, which could be Pyrokinesis.

Abe Sapien is an incarnation of the Babylonian sea god Oannes.
It's not completely ridiculous. The jellyfish-like entity that was responsible his creation could be a manifestation of any sea deity, and the name of the occult society that Abe used to be part of, that was so fascinated with undersea occultism, was called the Oannes Society; Abe has been called "fish-god" by spirits before; in "The King of Fear", the Black Flame indicates that Abe is one of the Ogdru-Hem (or at least something with equal standing); and most telling, in "The Universal Machine", when the Marquis asks for Abe to be delivered to him, he indicates a drawing of the god Oannes in one of his books.

Indiana Jones and Hellboy are set in the same universe.
Its just too damn perfect not to be.

The Angel of Death is a Packers fan
What? He's got the cheesehead.
 * Either that or a Raiders fan.
 * Alternatively, s/he likes Queen Amidala's headgear.

The scene with Krauss making doll furniture is a shout out to Abe Kroenen
Guillermo Del Toro and Mike Mignola are aware of the Photo Comic. This is the only evidence that supports this dumb theory, as webcomic!Kroenen has a doll house "set" that has the most detailed "props". There's also the coincidence that Abe seems to have stolen Kroenen's black jumpsuit look (and a few of his moves) and has a thing for mysterious pale-skinned blonds...

Pans Labyrinth's Pale Man is made of Kroenen's spare parts
Literally and figuratively. The Pale man has a pile of charred children's shoes in his lair; the Art Book's background comic show a pile of charred children's shoes in Kroenen's underground lab. The Pale man looks like an incomplete, mutated human; Kroenen has performed a lot of surgery on himself and removed parts of his body.

Kroenen is an allegory of Michael Jackson
(Going from the movie art book's character background comics) A beautiful child with nearly divine singing talent and loads of curly hair who went through an awkward adolescence and developed a strange, very self-destructive surgical addiction, which cost him is face, which would have been perfectly fine if he left it alone. He liked to dress in military academy/marching band style, and was always disguised and masked in public to protect himself from germs and being noticed (the last part didn't work). He surrounded himself with only like-minded people, and seemed to have an unhealthy fixation on children. And then there's this outfit (bottom of page) from the HIStory tour...

One is dead, the other is probably dead....

Pans Labyrinth takes place in the Hellboy film universe
The faeries from Pan's Labyrinth are shown flying around the Troll Market. If the faeries are real that means Ofelia's side of the story is real... however if you listen closely to the Angel of Death's voice it could also imply that the Faun is a Grim Reaper.
 * I hope this leads to a cameo by Ofelia (Queen of the underworld!) in the third movie.
 * The portal that Rasputin returns through in the Himalayas is exactly the same pattern as the one at the bottom of the labyrinth. They both even need blood to activate. Methinks he hijacked one of the faerie king's portals for his own use. It's mostly a supposition on my part, but I like to imagine that Ophelia was using her new faerie powers/princess might to somehow block Rasputin's return until the blood offering was made.

Constantine takes place in the HB film universe
It sure doesn't take place in the Hellblazer universe. Beyond that, the two movies share a prop: the Lance of Longinus (literally, it's the same prop). The BPRD has had the lance since the 50s, but in Constantine it isn't found until the 00s. This could easily be explained by magical Nazis using temporal magic, neither of which is out of place in the two films.
 * In that case, we'd have to include Indiana Jones as part of the same universe, since he also races against the Nazis to get the Spear in 1945 (note, though, that the Spear in the Indy story has not yet been found when the story starts, but in Hellboy the Nazis supposedly had the Spear as far back as the 1930s). At the end of the story, the Spear is acquired by the U.S. government; its power, we are told, allows them to develop and deploy the atomic bomb.
 * I can only conclude the Spear has Timey Wimey Ball powers, which also wouldn't be too out-of-place.
 * You're overlooking the obvious. The Spear of Longinus, which has been in the Bureau since the fifties, is simply not acknowledged officially in order to avoid it being targeted. Then, some well-informed bad guy gets word of it anyway and makes off with it. The Bureau stop the BBEG from doing whatever he was trying to do, losing sight of the spear in the process. They comb the area, trying to find it, but are unsuccessful. So they acknowledge the last known location. Soon enough, it pops up in the events of Constantine and later gets recovered by the Bureau, who deny all knowledge once again.

This trailer takes place in the HB universe
I mean just look at it, it's got Undead Steam Punk Nazis.
 * Also this one, minus the Steampunk part.

Johann is Original!Volkswagen in the Volkswagen commercials
It just makes sense (the VW Bus is Filmore).

Manning is really George Bluth Sr. hiding from his wife and the law. But mostly his wife.
After Arrested Development's finale, George Sr. used some of the money Michael had, used it to create a new identity, and got himself involved in covering up the paranormal in exchange for a full pardon and protection from Lucille.

Liz' ultimate suffering as described by the Angel of Death in HBII will be the loss of her children.
She is specifically described as being out of everyone on earth, the one that will "suffer the most" when Hellboy inevitably leads to the destruction of humanity. Your own injury and/or death are nothing compared to losing your children.