Several clues in the movie revealing Mike and Grace's true identities, including:
When Margaret and Roman are sitting together at the restaurant, she accidentally knocks her glass of champagne over so it spills into his lap. In the present day sequence, Mike knocks his cup of tea over spilling onto Grace in the same way. In addition, when Margaret spills the champagne, a bemused Roman responds by toasting her, "To Margaret, a woman with more beauty than Grace".
Margaret plays the piano: Mike's apartment is filled with pictures of pianos, and he has a neighbor constantly practicing the piano. He also plays a bit at the bar he takes Grace to.
When they're making love, Grace says it's just like what happened between Margaret and Roman. Mike replies, "I'm not Roman." He's not
When Franklin Madsen tells Mike and Grace about Roman being convicted for murdering Margaret, he mentions the scissors were bought by "a Japanese gentleman, if I'm not mistaken". Later in the movie, when Madsen gets the scissors out, they're in a case with Japanese writing on it, which translates into the phrase, "These are for you", the phrase Margaret's killer used.
No wonder Madsen doesn't charge anything to regress people-he gets them to locate valuable antiques they saw in past lives so he can collect them.
Madsen's coughing fit when Grace first mentions Margaret Strauss under hypnosis makes sense when you discover he killed her.
