Hellboy (comics)/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 40,000 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.
It's just too damn perfect not to be.