It's important in this context to define what we mean by entanglement--a box of a bunch of free fermions (a noninteracting electron gas, for example) aren't a typical example when we study "entanglement." A more common example would be something like entangled photons traveling away from one another, like in the Einstein-Podolsky-Rosen paradox or Bell's theorem. With those cases, we easily see the nonlocal effects of entanglement, but with an electron gas, what kind of measurement would probe entanglement? You see that it's a farther reach.
However, there IS a kind of nonlocal phenomenon in fermion gasses that you could describe as "entanglement." It's simpler than you would imagine: the exchange phase of eiπ=-1 from swapping any two fermions. (This is just elementary spin-statistics.) It's still hard to imagine an experiment that would probe this nonlocal effect. It is actually easier to create an example using an "anyon" or a particle with an arbitrary exchange phase eiθ. I see you've mentioned the QHE so you should be able to follow this argument.
If we started with two identical copies of an anyon gas, and without changing either one, somehow performed an Aharanov-Bohm type experiment to look at their relative phase, we'd obviously see no phase difference. However, if before performing the experiment, we first took one of the identical copies and somehow circled one anyon around another (recall that anyons are only observed to exist in 2-d systems), keeping all the other anyons in place, then when we perform the same aharanov-bohm experiment on the gasses, we would observe a phase difference equal to e2iθ. The difference in phases is between the multiparticle wavefunctions of the entire gas--not just the individual anyons that were in the looping process. Thus we see the entire multiparticle wavefunction changes due to the local process of circling one anyon around the other. This is a nonlocal effect we could describe as "entanglement."
For a fermion gas, you wouldn't see anything from that experiment because the exchange phase is eiπ, so the phase accumulated when you loop one fermion around another is e2iπ=1. But the concept is still there. The reason is that the wavefunction is not just the direct product of individual electron states--it has to be antisymmetrized.