The idea of a shared Lego universe is pretty interesting. I believe that in the Lego Club magazine, Monster Fighters and Galaxy Squad were confirmed to take place in the same universe. Also, the same character appears in both Galaxy Squad and Ultra Agents, so you can add Ultra Agents to the list. Dino 2012, Pharoh's Quest, Atlantis, and Alien Conquest all take place in the same universe as well, and in Dino 2012, there's a character named Josh Thunder, who is related to Johnny Thunder of the Adventurers. Additionally, there's a fan-made book called Lego Space: Building the Future that links together Classic Space, Futron, Space Police I, Blacktron I, and Ice Planet.