Yakuza has a sorta shared universe between the following:
Yakuza 0-7 (duh)
Judge Eyes (based in the same city as Yakuza, Tojo Clan involved in the plot, takes place between Yakuza 6-7)
Kurohyou 1&2 (PSP spinoff Yakuza games, again takes place in Kamurocho/Sotenbori and heavily features the Tojo Clan, especially in the first game. Takes place between Yakuza 4 and 5)
Hokuto Ga Gotoku (aka FOTNS) - while not truly cannon, the fact that two major Yakuza characters cross dimensions into this game, it sorta counts. But more in a "Marvel Vs Capcom" sense.
Plus, as confirmed in one side story of Yakuza 1, and later elaborated on slightly via a GamesTM interview:
Jet Set Radio (Future) - not sure which of the two games are technically cannon (as Future is basically the same plot as JSR). But in Yakuza 1, there's a character in one of the Kamurocho public restrooms that desperately needs toilet paper (well, tissues) - once the side story is completed you meet the guy in the toilet and its revealed to be Goji Rokakku, who owns the Rokakku Group - and he's the main villain of the JSR games. It was confirmed in the interview that this is indeed supposed to be the same person, and somehow the two game series are supposed to be based in the same universe (and hey, both feature fictional versions of areas of Tokyo/Japan and Rokakku's goals mirror those that government officials would probably try implementing in Yakuza)