Grace's odd reaction when she first picks up her rifle - she pauses, frowns and looks at it for a moment, as if trying to recall something, but then pushes it out of her head and carries on. Also, Mr. Tuttle's line "I expect he's dead, like all the rest" takes on a new and much more significant meaning after the first reveal.
There's also the fog seen throughout the film, and is mentioned a fair amount by Grace and Mrs. Mills. At one point, Grace mentions how the fog has never lasted this long. Later, when it starts to become clear that there are more to the servants than meets the eye, Mrs. Mills and Mr. Tuttle have a brief discussion about the fog when Grace leaves the house to try to find the local priest. "Oh yes... the fog, of course." It could therefore be theorised that this fog does not exist in the world of the living, but only in the world of the dead.