C-3PO and R2-D2 would be the only characters to appear in all 9 films. (With the six we have, this isn't true because Anakin/Vader & Obi-Wan (if ghosts count) are also in all 6)
Zombie, regarding the mandalorians... I don't know where this came from originally, but I know I've seen it several places.
Bill Slavicsek's Second Edition of the Guide to the Star Wars Universe says:
Mandalore Warriors
The Mandalore Warriors were defeated by the Jedi Knights during the Clone Wars [ESB]
That must be from the Glut novelization.
Page 88 of "The Star Wars Trilogy Sourcebook" (West End Games) says about Boba Fett:
"...armored suit similar to those favoured by a group of warriors from the Mandalore system who were defeated by the Jedi Knights during the Clone Wars."
Page 140 of the Star Wars Sourcebook 2nd Edition has the same thing word for word.
'The Bpfassh' entry in the Guide mentions some Clone Wars history (involving the Dagobah (the cave, methinks)) but I think that's mostly from Heir to the Empire.
Speaking of which... we need another thread entitled: How did Tim Zahn envision the Prequels/Clone Wars? That had me intrigued reading his books.
xhoznzi
P.S. I know the above references aren't precisely "canon" but they were obviously referring to something that people had been thinking was part of the Clone War history.