Our first mention of the Blue Plague is Tehgonan saying that shra are carriers of it. Dehl then says, with a pained expression, "...That's not funny." Four chapters later, in the final Flash Back cutscene, we learn that that's because it relates to the most traumatic moment of his Dark and Troubled Past: his father actually created the Blue Plague to stop all bloodshed, but it got out of control and he went insane trying to isolate a cure. Dehl only survived because he accidentally killed his father in self-defense, and on top of it, the Plague was carried by him and Moke. Thanks a lot, Tehgonan.
Pretty much every conversation about the Blue Plague is this.
Early on, Fero lets slip something that's nothing but a Cryptic Background Reference at that point, and the implications of what it means can't be understood until the very last chapter, by which point the player would almost certainly have forgotten such a minor detail: He's from Kir'Ssha.
During Skint's introduction, he asks Dehl if he's ever killed anyone. Dehl doesn't answer in the negative. While most players will probably just pass this off as him being annoyed or intimidated, he actually has killed someone before — his own father.
The post-battle cutscene with the Cryomancer hints at a major plot point of chapter 3 — that the fortian Council abuses its power and breaks its own laws.
Rulian's introduction scene is full of foreshadowing about the +ii emitter that isn't followed up on until the ending.
In the scene where Havan shows Dehl's guild the "artifact", when Dehl offers to help Cort carry it, Havan instantly exclaims, "Don't touch it!" but does not provide further explanation. Most likely because he already knows what it does and wants to keep its power for himself. Yep, hints that Havan might have less than the best of intentions are dropped as early as chapter 2.
Sara's mistrust of Padrino in interlude 2. While he himself isn't malicious, he is being chased by a member of a rival family. Sara is killed in the resultant crossfire, and because of that, Rehm goes into a suicidal Heroic BSOD, and Taru snaps from the stress, storming off and bearing a grudge against Rehm for abandoning the crew. The line "Don't cry to me when the Vigil goes up in flames" is painful to read on a replay...
This one is a little tenuous, but... Right after you recruit Falitza, she starts saying nonsense again: "Ahh! Clouds! Clouding, of mind and of the future! The blue becomes orange, then gray!" ...Or is it nonsense? Assuming that Falitza really does have some precognitive abilities and this isn't just some nonsense she made up to sound crazy, this could actually be foreshadowing the last chapter of the game. The Watchers definitely seem to relate to time and can see the future (or Donz can, at least), but of course, because everything goes Off the Rails, their visions are thrown off — thus, clouded. Havan's destructive acts cloud the future — and they may also relate to turning "the blue" 'orange'. What she means is quite vague, and there are multiple possible interpretations, but "blue" could very well refer to the planet they live on — it certainly has a lot of ocean. Orange is the colour of fire, which implies destruction — and the ruins we see in chapter 6 are quite gray indeed. So yes, that random line foreshadowed one of the biggest reveals in the game. Or maybe I'm just looking too far into things...
"The blue" could also refer to the Blue Guard. Orange is the opposite colour of blue — this could be foreshadowing the fact that Havan betrays his own ideals and twists himself into a monster through his own hatred. And, of course, he dies at the end, and gray is a colour often associated with nothingness and death...
The first conversation Fell has with Dehl, in which she casually outlines the driving force of the plot and the game's Central Theme.
When Six Stars first arrives in Fortifel, it begins to snow. Dehl freaks out at this for no apparent reason. Qualstio says it must be because he's never seen snow before, but, if you examine him in quest mode, the narration says he's trying to stay as far away from the snow as possible, even at the cost of extreme discomfort. Dehl later says that he is cold-tolerant by nature, too, so the temperature isn't what's bothering him. It is the memory. Dehl has seen snow before — once, and it was the day his father snapped and massacred the entire island.
If you use Procure Status on the enemies in The Very Definitely Final Dungeon, you can find a few hints as to the Lord-God's identity. In particular, the enforcer's thought quote practically gives it away: "[Our god] exhumed us when we were buried by our weakness!"
In the prologue, when questioned as to why Rehm keeps a mast on a ship that's driven by engine power, Sara says, "The captain says it's his 'lucky' mast. Yeah, I dunno what that means either." Well, apparently Rehm is clairvoyant, because when Pazzato attacks the ship and tries to blast him with telekinesis, it stops Rehm from from being flung into the ocean. It's a pity Sara wasn't so fortunate...
When Havan first shows off his 'artifact' to Six Stars, he says, "Beautiful. The kind of relic a man would build a tower beneath in order to protect." Much later, he uses the spire that ascends from the Drop for that purpose.