I think that you should ask yourself if you really need to do any of those four items in your story. Each of your items is a form of borrowing from another author's work. I'll ignore most of the legal stuff because the other answers explain it better than I can.

As has been stated in other answers, it's legal to do this if the work you are borrowing from is in the public domain. And some authors do this.

In the case that the borrowed works are not in the public domain, then you are opening yourself up to legal action, such as a lawsuit. This can be extremely expensive to defend against, even if you are in the right.

It is my personal opinion, but I don't like writing fanfic. I also don't enjoy buying a book and then finding out that the author has written something I cannot unexpectedly appreciate without reading (or watching) other works.

I'll try to go through your list and explain why I consider them dangerous. The main thing I find is that you have given control, to one degree or another, of your writing. My comments are mainly applicable in the case of works under copyright, however, even public domain stories can be written into new series (there are many such about Sherlock Holmes).

Mentioning that the events of IW take place in the same universe as
YourWork.

This can be dangerous because you have lost control of your setting. For example, let's say that your works are set in the city of New York. Then imagine that the author of the borrowed work releases a sequel in which he destroys New York in nuclear fire. This means the sequel you're writing will now have to be modified or tossed.

Have a character in YourWork (YW) reference events from IW.

This is a weaker version of your first point. It might even be legal if the events are close enough to the real world events that your readers don't notice. It still is giving some control to a third party.

Have a character in YW somehow in touch with character from IW,
without mentioning name of IW character.

To me this doesn't add anything to your work. If the reader can't figure out who the IW character is, then you run the risk of alienating that reader if he finds out. Essentially this could be thought of as laughing at the reader ("I know something you don't know!")

Have a character in YW somehow related to a character of IW, without
mentioning name of IW character.

Again, if the reader cannot figure it out on his own (in which case why bother to hide the name?), you're just laughing at the reader. And again, you've added nothing to your work if the reader doesn't know the relationship.

These are strictly my opinions. I don't write fanfic.

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