Some hits that Sethra and Kiera are the same person:
In Taltos, at a point where Vlad is unwilling to climb Dzur mountain to meet with Sethra, Kiera shows up out of nowhere and gives him a peptalk. Also interesting is her promise that if Morrolan kills Vlad, he will be dead in less than a year. Sounds a lot different when you realize that the speaker is an insanely powerful sorceress.
Although given the nature of the mission Vlad is about to embark on, it may be that she wasn't threatening Morrolan at all, but simply stating a fact: if Morollan kills Vlad, then he'll have to go to the Halls of Judgement all by himself, so Morollan will be dead because he won't be coming back.
That revelation also makes Kiera's observation that whomever the man she's investigating in Orca might be, he isn't Sethra Lavode a Moment Of Funny.
Orca: Look at Loiosh's first comment upon meeting Sethra for the first time.
There's a minor digression in Phoenix in which Vlad notices that Rocza is acting a bit oddly, so he asks Loiosh if she might be pregnant. This doesn't seem important, until you go back and re-read it after learning about Vlad Norathar, and take note of Loiosh's reply that Rocza is very close to the absent Cawti ... and you realize that she must've been pregnant by then.
Issola: Vlad inspects the Morganti blade given to him by the Jenoine, and notes that it's somewhat blade-heavy for his preferences. This foreshadows how Spellbreaker wraps itself around the dagger's hilt when it's transformed into Godslayer/Lady Teldra, thus adding to the grip's weight and balancing out the weapon.
Also, Spellbreaker's tendency to change length and thickness each time Vlad deploys it is an early indication that Godslayer will be a Morph Weapon.
In The Paths of the Dead, Morrolan, Arra and Teldra fight some Eastern villagers who couldn't understand their language, and Teldra ponders how it might not have been necessary if only they could have spoken to each other. Hundreds of years later in Issola, Teldra uses her ability to speak Jenoine to prevent a fight from breaking out. Had she been studying languages ever since PotD, in hope of averting needless bloodshed?
Jhereg's colors are grey and black. For Dragaerans, grey is the color of death while black is the color of sorcery. This is a reference to the two major branches of House Jhereg, which are known for their assassins and their sorceresses.
It may also be a snide reference to House Jhereg's origins, as its founder Doliver was originally from the Tribe of the Dragon. Dragons' colors are black and silver; remove the gleam from silver, the same way Doliver lost the "gleam" of Dragon prestige when he was outcast, and it becomes gray.
Aibynn's use of drumming to open up a pathway to Verra's realm at the end of Phoenix seems like a complete Deus ex Machina at first, given there's no other hint that he's got any magical or psychic talents. But when you consider the nature of the Dragaeran afterlife, and the fact that Aibynn is a ritual ("surfy") drummer by preference, it makes sense: pure-blooded House members find their way through the Paths of the Dead using information from books unique to their individual House, but the natives of Elde and Greenaere have no Houses. As cross-breeds, they can't navigate the Paths the way House members do, so their culture found an alternative method of getting to the Halls of Judgement, using mystical drumming rites (possibly necromantic?) to open the way for the deceased.
A reread of Taltos (which was published immediately prior to Phoenix) only reinforces it: the epigraphs go through the steps of Vlad's creation of a witchcraft spell to call an object to him while he's in the Halls. He starts "hearing" a low but powerful beat and recalls how witches back East sometimes used drums as part of a ritual. Aibynn is thus probably practicing a very particular kind of witchcraft that Vlad briefly touched in Taltos, one which allows people and things to move from the living world to the afterlife.
In Five Hundred Years After, the chaos-stirring events that culminate in Adron's Disaster take place in the month of the Vallista: the House whose Hat is "creation and destruction". The first days of the Interregnum, during which the mortally-wounded Empire fell prey to unrest, brigandage, invasion and economic collapse, took place in the month of the Jhereg: a House whose heraldic animal scavenges the carcasses of the dead.