1. The Heroes of Final Fantasy X Created the Villains of Final Fantasy VII
Considering the fact that all of the numbered Final Fantasies have unique settings, most people assume that none of them are directly connected. Many FFs share common concepts and critters like chocobos, moogles and a chucklehead named Cid, but for the most part they're all set in their own little worlds.
One major exception lies in two of the most popular titles in the series; Final Fantasy VII and Final Fantasy X. That the pair share a universe isn't exactly well-known, mostly because the only place that it's spelled out is a Japan-only companion book for FFX's direct sequel, Final Fantasy X-2. Deep within this meaty tome it is revealed that the people of Spira (the world of Final Fantasy X) are the ancestors of the people of Gaia (the world of Final Fantasy VII).
The key link here is Shinra. FFVII fans will remember that name well, as Shinra was the planet-killing, profit-loving sci-fi corporation so evil that it makes Exxon and BP look like Greenpeace. But those familiar with the booty short-resplendant FFX-2 will remember Shinra as the hazmat-suited boy prodigy/mole person that manned the ship of the protagonists.
Towards the end of the game, Shinra makes a discovery about a mysterious energy source flowing through the Farplane (aka the afterlife).
Though "extracting energy from a planet to use as a power source" sounds like a terrible god damned idea to anyone who played FFVII, everyone in FFX-2 was pretty psyched about this breakthrough. In fact, everyone was so hot on the world-mining idea that it was number one on the To-Do list once Shinra's people developed space travel. Sure enough, 1,000 years later, Shinra's descendants settled on the world of Gaia and soon became the world's dominant species. Some of these colonists eventually started their energy company and named it after their vaunted ancestor -- and thus Shinra Electric Power Company was born.
And that's how we got the Mako reactors from FFVII.
None of this would have been possible without FFX's protagonists doing something so selfish as saving their world. Extra blame lies on Yuna, who took in the young Shinra with open arms, giving him the resources for the scientific breakthrough that would later put Gaia and its people at the mercy of a sexy anime god boy.
Let that be a lesson to you: Never be nice to children.
2. Link from Ocarina of Time is stuck in purgatory
It's hard to remember now, but there was a time when fans fell all over themselves trying to hash out the shitshow that was the The Legend of Zelda timeline. With over a dozen games all starring different elven boys named "Link," attempting to assemble them The Legend of Zelda games in chronological order was an exercise in futility. All arguments were laid to rest in 2011, however, when the officially-licensed Hyrule Historia laid out the timeline in full -- and also made Ocarina of Time the darkest entry in the series.
It took an hardcover encyclopedia to sort out this lore clusterfuck, but we'll try to whittle it down to the essentials; remembering Doc Brown's chalkboard explanation of time travel in Back to the Future 2 might help here. Basically, thanks to the time-travel shenanigans of Ocarina of Time, the franchise proceeded to split into three different universes. In one timeline, Ganon wins the day at the end of OoT, which leads to the original 8 and 16-bit games; then there's the timeline where Zelda sends Link back in time, which leads to The Wind Waker; finally, there's the Young Link timeline, which leads directly to Majora's Mask.
That last one, Young Link, is probably the most tragic of all. Yes, he went on to save Termina in Majora's Mask, but this guy was also grew up to play a part in another Zelda game that took place many, many years later.
In The Legend of Zelda: Twilight Princess, Link encounters a ghost called "The Hero's Shade," a benevolent spirit that looks he took a shower in water poured from the Wrong Grail. Gameplay-wise, Slim Shady teaches Link some new sword techiques, but his backstory is what's important here. As confirmed in Hyrule Historia, The Hero's Shade is none other than the dessicated spirit of Young Link from Ocarina of Time and Majora's Mask. The pertinent passages explain that Young Link grew old and died while filled with regret over never being remembered as a hero. It was only by passing down his knowledge as a warrior to his direct descendant that this poor soul found some peace.
You gotta feel for him. For one thing, this kid killed Ganondorf and stopped the Moon from crashing into the planet, and the only thing he gets for his trouble is being forced into a state of Limbo for centuries. It's almost as horrible as playing one of those CD-i Zelda games.