I tend to put Easter eggs in my novels--small items, phrases or themes that carry from novel to novel.
In the Nocturne City series it's food--my heroine has a werewolf metabolism and she eats constantly. I've been able to invent a whole series of fictional restaurants and have her eat everything from burritos to gourmet sushi. It's great for world-building on a detail level and it's something fun that series readers can pick out.
In the Black London books, it's music. My hero is an ex-punk who still clings to the musical tastes of his youth, and so I got to dive into my MP3s and extract such gems as the Supersuckers and the Anti-Nowhere League so I could reference their songs in the text. More character-building here...you can tell a lot about someone by what kind of music they listen to.
What are some of your favorite Easter eggs in novels? What are some you put in your own writing?