There are a couple of Shout Outs to the developers' native Scotland. The railroad bridge leading from San Fierro is obviously modelled on the Forth Railway Bridge. There are probably several more in the series.
There's also the Mr.T hair and beard you can get. And The Lil' Probe Inn? And Kurt Cobain.
Blink and you'll miss it: During the convenience store/tanker robbery with Catalina, the convenience store's bulletproof outer glass has a logo in the corner that says Max Pane. You can see it most clearly just at the end of the mission's opening cutscene.
There is a reference to the original Half-Life inside Area 69, which bears a striking resemblance to the Black Mesa Research Facility, complete with Gordon Freeman's crowbar sitting on a table.
The mission "Just Business" features a large truck breaking off of a bridge over a flood control channel into the channel below. It looks suspiciously note read: overwhelmingly like a scene from Terminator 2, released one year before the game is set.
Certain NPCs are dressed as Cuba Gooding, Jr.'s character in Boyz n the Hood.