Old Man Ho Oh: Jo Jones' offhand line about the Doctor always getting into trouble with the Time Lords and the Eleventh Doctor brushing it off could be interpreted as the death of all of them before series 1 of Doctor Who... until you realize that he could be referring to that time he faced off with them almost a year before Death of the Doctor as they escaped the Time Lock in Doctor Who's The End of Time.
EMY 3 K: In the pilot episode, Sarah Jane says that if she had a son, she'd name him "Luke". Luke means "beloved physician". In the Church, Luke is the patron saint of doctors and artists.
Harsher in Hindsight: In the episode Secret of the Stars, Martin Trueman reads Sarah Jane's past, accurately describing her time with the Doctor, how it ended, how she keeps secrets, and how she wins her battles. Then, he predicts that Sarah Jane will lose a battle in the future. This is one big continuity Call-Back for Elizabeth Sladen's character. Where does the horror come in? In real life, Liz lost her battle with cancer several years later.
One of the Slitheen in the first episode is disguised as a child. Given that their disguises are the skins of dead humans...