I have tried to bend my brain enough to come up with a coherent Highlander continuity. But even if you just take the 1st 4 movies on their own, it's still a nightmare and only kinda makes sense if you remember some of the time travel stuff from the Director's Cut of Highlander II. Doctor Who is a walk in the park by comparison. There's a lot of handwaving to make things work but there's also a lot of time travel to justify much of the handwaving.
As far as I can tell, only the Daleks' history and the Mondas Cybermen history are the obvious continuity headaches. But the rest of it - well, they tie surprisingly well. Not only in continuity of plot, but also character - the Doctor genuinely feels like its the same character throughtout all the 50 years. Different, but same. Staggering, if you think about it. Highlander, on the other hand, is so convoluted, confusing and deliberately strange that it feels its almost by design. Personally, I divide them into parallel worlds: 1) Highlander, Highlander 2 (2004 Special Edition) and the Way of the Sword comic book arc as a prequel. 2) Highlander (essentially the same basic beats, but a different story - not the Gathering), Highlander: The Series, Highlander 3 (the Gathering references neatly ignored), Highlander: The Raven, Highlander: The Novels and Comic Books (except the first film's novelization and the Way of the Sword mini-series), the Audio Plays, The Methos Chronicles web-series, Highlander: Endgame and Highlander: The Source, with The Animated Series as an optional sequel to that film.