It would be most helpful to hear some of the sounds so we could give direct feedback. But, without hearing things, what you can do is run all of your sounds through a similar mastering chain so some of the same EQ/compression and leveling is applied, to some degree, across everything. Some games have done a level of saturation across all in-game sounds for a certain effect. Limbo would be an example.

If you use sound effect libraries, something I like to do is to make a separate directory (in REAPER I can make what I think was called a collection in the media explorer?) that contains a bunch of sounds that roughly fit the sound or aesthetic I'm going for. Then when I start sound designing, that's where I pull a lot of my sounds for the project. Since everything is coming from similar source material, it ends up sounding a little more connected. Like nsmadsen said too, having everything go through similar mastering processing will also help. I'd also recommend using a loudness meter if you aren't already, so that you can export everything at similar volumes as well.