The Saw cameo would probably be from Texas Chainsaw 3D of a cosplay, so not connected.
Puppet Master isn't connected. As you can see, it doesn't look like any puppet from that series.
Barry Simms dies in The Curse of Michael Myers, so I'm not sure how he's supposed to be alive in Penny Dreadful.
Among Friends isn't canon, similar reasons, meta stuff.
Cupid, well, from research it's a Smith Grove mental hospital but I don't know if it's literally Smith's Grove Sanitarium from Halloween. It's definitely a nod though.
Body Bags, we've been over. Haddonfield is a real place that exists and we don't know if that film takes place in Illinois. Definitely a reference though.
Gravy, same as above.
Butcher Boys... uh, decide for yourself.
Butcher Boys (2012) - Trivia on IMDb: Cameos, Mistakes, Spoilers and more...
m.imdb.com
Waxworks isn't canon, but the comic book adaptation can be!
Waxwork is a childhood favorite of so many who grew up with it in the height of the video era—and for good reason. For kids introduced to horror through the relatively tame Universal Classic Monsters, maybe moving onto something like The Monster Squad after that, Waxwork is the perfect next...
bloody-disgusting.com
Creepshow, well, yeah. It has connections to Friday the 13th and Evil Dead, but it's kinda confusing. The TV series seems to have apocalypses that go unresolved from memory, and certain episodes strongly suggest that the Slasherverse is fiction. I don't know, too confusing, best ignored for now.