Sir Patrick Stewart, a veteran of numerous Shakespearean productions, quotes Shakespeare's "Julius Caesar" several times in character as Emperor Uriel Septim.
In the Shivering Isles, there is a point at which you come across a stone platform on a mountain. There is a freshly killed body known as "Sheogorath's Punished". If you search the body you will find a "Death Decree" labelled for one of the games developers. The body even bears his resemblance.
As a running joke from Morrowind, the character of M'Aiq the Liar makes a reappearance. M'Aiq, a mysterious Khajiit, is notorious for telling a multitude of lies about the game. In Morrowind, M'Aiq did tell one truth. In this game, however, this is not to be.
The Collector's Edition (which includes Pocket Guide to the Empire, "Making of Oblivion" Documentary, and a Septim Gold Coin for a retail cost ten dollars more than the non-collector's edition) is the best selling Collector's/Limited Edition of any game ever.
There are numerous references between all of The Elder Scrolls games, including references forwards (Morrowind has books and characters who talk about Oblivion, et cetera). In addition, The Imperial Arena is based on the original concept of Elder Scrolls: Arena complete with posters based on the box art from the game. There are also several characters and items that reoccur between the games. For instance, the blade "Umbra" makes an appearance in The Elder Scrolls III: Morrowind (2002) and this game possessing two different characters.