Yeah, there exist many crossover indeed.
I found them here
http://www.ffcompendium.com/h/excross.shtml
Here's some Ex-crossovers.
ahamut Lagoon: An only-in-Japan game. Obviously besides for Bahamut himself, as a summon, there's also the Presenter, a sorta-secret monster who also happens to appear in FF6 as an optional mini-boss. Also, certain of the forms of Salamand, the hero's dragon, appear similar to monsters from FF6. Deboahan looks like the Dirt Dragon, and White Warrior looks like one of the monsters on the World of Ruin overworld. Also, one of the final forms of Thunderhawk, "D.Chimera", looks very similar (although much higher-resolution) to an identically-named monster from FF5.
Ehrgeiz: Some go so far as to call this "Final Fantasy Fighter". No less than five of the 9 main characters from FF7 are completely playable in the PlayStation version (Cloud, Tifa, Yuffie, Vincent, Sephiroth); Zack is also playable (as an alternate graphical version of Cloud). As well, the final boss, Django, bears a remarkable resemblance to Red XIII from the same game. The characters use many of their Limit Breaks and victory poses, and two music themes are from FF7 (fighting Cloud in arcade mode is a remix of the FF7 battle theme, and fighting Tifa is a remix of Prelude). Thanks to Simon Ammundsen for some of that info. Also, as J4K0 reminds me, Ehrgeiz itself is the name of one of Zell's weapons from FF8.
Tobal 2: Chocobo is one of the hidden characters here. Click here for a picture.
Lunar 2: Eternal Blue: Marek 14 says: "At one point in the game, the party visits a gypsy camp. There is a big bird that pulls the caravan. When you talk to the girl nearby, she tells you "Oh, that? That's a choco... a chuckubuu." Tongue-in-cheek! The bird is referenced as chuckubuu afterwards ;-)"
Suikoden 2: Khessed sent in this pic inside a university in one of the towns. That statue on the desk looks remarkably like a Cactuar. 8-)
Xenogears: Hanging on the wall in a house in the upper-class Solaris community is a poster of Tifa! Screenshot here.
Also note that two characters here are named Roni and Rene, which are the same as the middle names of Edgar and Sabin from FF6. See Name Origins for more info on that.
Parasite Eve: The banner in front of the Museum Of Natural History has a Chocobo on it.
Vagrant Story: This game was made by the same team who did FF Tactics, so of course they'd stick some references to FFT in it. For starters, a lengthy quote in the stunning introduction sequence is attributed to "A.J. Durai" - better known as Alazlam from FFT. Plus, four of the items in the game are "Agrias's Balm", "Beowulf", "Orlandu", and "Altema". By the way, the names Rosencrantz and Guildenstern from the game come from Shakespeare's Hamlet. Guildenstern's first name is Romeo, as well. 8-)
Legend of Mana: If you go to the city of Geo and you go to the Magic Academy, look at the sign in front of the building; a small black mage can be seen clearly on the sign. (Sent in by Jeff M..)
Parasite Eve II: One of Aya's weapons is a gunblade. Also, Denisse writes that one part of the game has Aya trying to find a cure for a computer virus known as "Cloud" - the antivirus is called "Aeris".
Resident Evil II: This was sent in by Palmer of the Turks: In FF9, the statue in Lindblum Castle says "There's no place to put the medal..." when you examine it. Since there's no medal mentioned anywhere in FF9, this is probably a reference to RE2, where you have to put a medal into a statue and a similar message occurs if you examine the wrong statue.