The great-granddaddy of contemporary shared universes has got to be H. P. Lovecraft's Cthulhu Mythos (Classical Mythology is an even further back ancestor). Right from the start, Lovecraft happily allowed friends and even fans (Robert Bloch, best known for Psycho, started out this way) to write in and add to the implied setting of his universe. A name dropped in one story would become the gibbering cosmic horror of the next. Lovecraft appeared in a Bloch story (and died horribly), then wrote a sequel in which "Robert Blake" also died horribly.
And even after Lovecraft's death, horror writers kept writing Mythos stories. Even King has gone to that well a few times. There have been an increasing number of movies, some adapted from or inspired by Lovecraft, others original stories incorporating elements of the Mythos (e.g. Underwater starring Kristen Stewart ends with an appearance by Cthulhu itself).
My own relationship to the Mythos is a long one. I think I first encountered it through roleplaying. The Mythos appeared in the first edition of the D&D book Deities and Demigods before being dropped from subsequent editions for copyright reasons (Lovecraft's work had not leaked into the public domain yet). But that got my group and I interested, leading us to Call of Cthulhu, the first and still most popular RPG based on Lovecraft (though many more have now appeared since the Mythos went into the public domain).
And it got me reading H. P. Lovecraft himself, along with many of his heirs and successors. While Lovecraft is a problematic read today (racist, classist, something of a fascist, more than a tad sexist), the ideas stuck. My favourite horror writer Ramsey Campbell, along with some of his contemporaries have done a bang-up job of modernizing the Mythos and getting away from the problematic element.
So naturally I started toying with writing Mythos stories. At one point, I even toyed with my own "Mythos", trying to divorce myself from having to ape the structures of the original. You can see this in Voice of Ice, whose first draft actually goes back to that period in my life. Of course, I failed miserably at that divorce and the whole academic discovering horror from reading ancient books is alive and well in that story. My recent The Summer Beast is probably closer to creating something in the cosmic horror vein that is not really part of that lineage, but it is not really all that cosmic. Though if I ever get a sequel going, who knows where I would go with it? I never did establish where the beast came from in that story.
And so, right now, I am writing a story that will be consciously Mythos, or at least Mythos-adjacent. Old books, horrors from beyond normal space and time, and so on. But I am hoping to put my own spin on the hoary old tradition, too. We shall see if I succeed.
(And, yes, there's a non-zero chance I might end up having this, The Summer Beast, and Voice of Ice be in the same universe. After all, the Mythos was not really deliberately created, just evolved out of Lovecraft dropping the same names and obscure references over and over. Sometimes stories that were not meant as Mythos stories even got sucked in by Lovecraft's name-dropping, e.g. Robert Chambers' The King in Yellow.)
