Batman: Year One (written/drawn by Frank Miller) along with Batman: The Long Halloween, Batman: Dark Victory, and Catwoman: When in Rome (all three written by Jeph Loeb/drawn by Tim Sale) share direct continuity with each other; Robin: Year One (written by Chuck Dixon and Scott Beatty/drawn by Javier Pulido and Marcos Martin) is generally held to be in the same continuity (as are the Batman Annual series - collected as the trade paperback Batman: Four of a Kind, written by Bob Kane, Chuck Dixon, Alan Grant, Doug Moench and all drawn by Brian Apthorp and featuring 'Year One' stories of Poison Ivy, Scarecrow, Riddler, and Man-Bat) although there are some inconsistencies, for example Jim Gordon's rank.
Batman: Haunted Knight is tricky. It collects three tales, all written by Jeph Loeb and drawn by Tim Sale - which subsequently led to the aforementioned collaborations The Long Halloween, Dark Victory, and When in Rome. Arguments still go on as to whether the timeline and events of any of the tales contained in Haunted Knight can be reconciled into consistency with those of The Long Halloween, Dark Victory, and When in Rome (which are generally placed in the 3rd and 4th years of Batman's career).
As for The Dark Knight Returns confusion sometimes arises here because Batman: Year One is actually held to be the 'start point' of two different DC continuities, a 'fork' if you like, leading to the main DC continuity as discussed above (lasting up until Flashpoint/The New 52) and also to the entirely separate so-called 'Miller-verse' (all Batman works, written - and sometimes drawn by - Frank Miller) comprising Batman: Year One, All-Star Batman & Robin the Boy Wonder, Spawn/Batman, Dark Knight Returns: The Last Crusade, The Dark Knight Returns, The Dark Knight Strikes Again, and The Dark Knight III: The Master Race.