Like for example GTA 3 Music I'm Hot Tonight was music from Scarface the movie, then they made Scarface the game added the I'm Hot Tonight music in that game to.
In GTA 3 Carcer city is some where around GTA 3, some one mentions it on the radio station. In Manhunt Carcer city is a place were Cash was killing his way out of trouble.
GTA Vice City has a hotel room in blood where Tony & Manny were about to get sawed off in Miami well Tony survived Manny died. In Vice the mansion is the same as in the Scarface movie and video game. Vice City is like a feel like Miami.
GTA 3 feels like parts of New York City.
Max Payne feels like were in Carcer City, but it's in New York City, some games I love when they set in New York City :D.
Plus some easter eggs are found in video games :D.
GTA 3 if you are in the 2nd island cafe you can see GTA 1 and GTA 2 screen shots on the computers.