Read This: Wired compiled a roundup of the running gags and Easter eggs in the Cornetto Trilogy
The three films of the Cornetto Trilogy are grouped together by the trio of Edgar Wright, Simon Pegg, and Nick Frost, but nothing overt in the way of characters or plot. They’re mostly discrete entries, but since Wright and Pegg are genre obsessives, they did place a bunch of running gags and personal references within the series. Wired put together a list of the intricacies within Shaun Of The Dead, Hot Fuzz, and The World’s End, from the origin of the Winchester pub and the obsession with twins being evil to the theory that the films are nesting dolls in the same fictional universe. It’s not an exhaustive list—it does leave out the fence-jumping failure that runs through all three films—but it’s a good start on the little ties that bind the trilogy together other than ice cream treats.