Wallace and Gromit/WMG

The series takes place in a world where Britain switched back from decimalisation.
This explains why in "Curse Of The Were Rabbit" everyone is seen using pounds, shillings and pence (instead of pounds and pence) and Wallace and Gromit are seen using post 70s technology. It also explains why Wallace uses metric currency to make the robot on the moon work in "A Grand Day Out". In this world, Britain tried decimalisation for a time, then got fed up of it.
 * Confirmed in Grand Adventures - in Fright Of The Bumblebees Wallace claims that the worker bees are slow because they're on the modern metric system and find it difficult to make the conversion.

Wallace is a Spark and Gromit is a construct.
Self-explanatory.
 * This explains why Wallace has trouble with his inventions. He designs them while he's in the 'madness place' - the Spark mad-scientist mental state - and puts his creations together as per his own instructions while he's sane. Although he knows how to operate them (after all, he built them), he doesn't fully understand how they work (after all, technically, he didn't design them) and can't modify, improve upon or effectively troubleshoot them without returning to the 'madness place'. Note that the only beings that ever managed to modify his technology for their own purposes were themselves insane (criminally insane masterthief Feathers McGraw and rogue robot Preston). Gromit doesn't count because he has intimate lifelong access to Wallace's documentation and notes.

Wallace will eventually become Inspector Gadget.
And Gromit will become- or already is- Brain. Where Penny comes from is up for debate.
 * Easy. Wallace has a sibling we've never seen before and they have a daughter, Penny.
 * One of the comic strips featured Wallace travelling to the future (using a time machine built out of a grandfather clock) and meeting his Great Great Great Grandnephew. This suggests that Wallace has a brother/sister.
 * That or he eventually gets married and his wife has a sibling with at least one kid.

The zoo near West Wallaby Street is a high security prison asylum for animals.
There's Feathers, Preston, giant plant-eating rabbits. The penguin especially - he's even seen looking out a barred window at the end of A Close Shave.
 * And also the Queen Bee and Poodjee-Woo and Tinky-Wee.

Gromit is one of Snoopy's brothers.
Don't even try to deny the similarities.
 * Even alluded to in the film, Gromit rides around in a WWI-era plane like "Flying Ace" Snoopy does.

Preston is an early model T-600.
His fur looks rubbery, like those of the early robots built by Skynet. Wendolene's father may have accidently started the movement by creating him.

Wallace and Gromit never went to the moon.
But rather some undiscovered cheese planet whos inhabitants went extinct long ago, leaving behind only their greatest creation, some drawer robot that likes to ski.

Gromit takes on the role of Wallace's partner, of sorts, because he never has a long-term one.
Gromit acts very much like a 50's housewife, cooking and knitting and being encouraged to be "sexy" in the film as the lady-rabbit. And much like a sitcom wife, he always has to bail the "dumb male" out of trouble.

Wallace is The Engineer's British relative.
He's a mad scientist who can have a normal conversation with people, but there's no denying he's a bit bonkers. And Pyro has a Feathers McGraw-referencing hat, after all...

Gromit, like Preston, is a cyberdog.
Just 'cuz.

Wallace suffers from bipolar disorder.
The poor guy's like clockwork. After a couple months of lounging around, eating cheese, and requiring mechanical assistance to even get out of bed in the morning, he'll -- completely unexpectedly and in the span of a single evening -- build a spaceship in his basement, or convert his house into an industrial bakery, or start a window-washing business which for some reason requires a motorcycle sidecar that transforms into a prop plane. But then, once the adventure is over and all his earnings have been spent on blow, he'll soon revert back to his sedentary, broke lifestyle.

Somewhere out there, there is a Techno Sweater. And a Techno Hat.
They must never come together.