While there are plenty of hidden references to the series in many video games, TV shows, and comics; the Zelda series doesn't get as much in-game cameos as Mario does. But Link does make a few cameos here and there. One of his early ones was in Super Mario RPG where he's sleeping in a house.
Most people didn't realize that the Warp Whistle in Super Mario Bros. 3 is just like the one in the original Legend of Zelda. Even plays the same sound.
A really vague one is Piantissimo from Super Mario Sunshine. His natural talent for running is a reference to the running-man in Ocarina of Time, and the Post-man in Majora's Mask.
Kirby likes Link so much that he borrows his trademark hat and sword in most of the series.
I also remember Link's Zelda Stage in Tetris DS. Very sweet.
And I loved him as a character in Soul Calibur II for Nintendo Gamecube. The other 2 versions didn't have Link.
I really want to get Animal Crossing 3DS since I can now combine my two of my favorite series.
Ditto for the upcoming Nintendo Land's Battle Quest mode. Multiplayer-mode with the ability to be Links? Count me in!