2012 horror/comedy Scream might be the most well-known example of this type, but self-referential horror films existed long before Scream, and continue to be made today.
One of the best of the lot is The Cabin in the Woods, directed by Drew Goddard and co-written by Goddard and Joss Whedon. From the beginning of the film, it's clear Cabin in the Woods isn't quite the standard "group of friends go to a remote location and get slaughtered" slice of horror that the marketing might've implied. Goddard and Whedon's script relentlessly mocks some of the more inexplicable horror tropes fans tend to just accept for the sake of being entertained, but it does so in a loving way, and even attempts to explain some of them.
Of course, it's Cabin the Woods' beloved "system purge" sequence that really serves as a love letter to the genre, including just about every conceivable type of monster in an glorious cavalcade of chaos. Along the way though, we find out why these particular people were subjected to this particular scenario, and the reason could theoretically serve to build a bridge between every conceivable horror film.
How Cabin in the Woods Connects Every Horror Movie Ever Made
As fans will recall, it turns out that the main characters of The Cabin in the Woods were selected to take part in a yearly ritual designed to ensure that the Ancient Ones (themselves a clear reference to H.P. Lovecraft) don't rise up and reclaim the Earth. The fate of humanity is at stake, and if at least one country doesn't complete their ritual - which takes the form of a recognizable horror movie premise - before the deadline, it's apocalypse time. When survivors Dana and Marty initiate the system purge in an attempt to survive, and all the various monsters housed at the facility run amok, it's quickly apparent that every possible horror villain is present and ed for, albeit in ways that don't violate copyrights. This includes evil clowns, giant snakes, human serial killers, undead slashers, Pinhead-esque Hell Lords, and even Mermen, just to name a select few.
With that in mind, The Cabin in the Woods implies that every horror film ever made could've well been a ritual designed to appease the Ancient Ones. Every time MCU to shame.