(i) A one-off reference. Close readers of Anderson's Time Patrol series realize that the timeline guarded by the Patrol is not ours because, in it, Holmes is real - although his name is not used except in contexts where he could be fictional. (If this is confusing, read it and see.)
(ii) A shared universe:
the Wold Newton universe;
The League of Extraordinary Gentlemen;
various comic book universes, now being adapted to screen.
(iii) A multiverse where what is fictional in one universe is real in another and vice versa:
Last Action Hero (and here);
the DC Comics multiverse;
Anderson's Old Phoenix multiverse.
Holmes shows up in the Old Phoenix along with Huck Finn and others.
This leads to another issue. There are kinds of multiverses. Parallel universes might have:
different laws of nature;
inhabitants who are real in one but fictional in another.
SM Stirling's multiverse(s?) are of only the first kind. In the Emberverse, some laws of nature begin to work differently on Earth after a certain date but (we think that) this is because a higher technology has tampered with them so this is another alternative history but not a different kind of universe.