Although it came out after Skyrim, the Joss Whedon and Drew Goddard film The Cabin in the Woods has been known about for years beforehand, due to a troubled development schedule (filmed in two dimensions, converted into 3D because we did the time warp back to the 80s somehow, and then MGM went bankrupt, leading to the film being shelved for a while). In Skyrim, you can find a book called The Cabin In The Woods. Appropriately, the film itself is made out of shout outs.
Sweetrolls are almost impossible to not encounter in Skyrim. Of all things, why would a Bethesda Softworks title, particularly an Elder Scrolls title have Sweetrolls as a food that heals 5 HP? Also, some guards when met with eye contact ask "Let me guess, someone stole your sweetroll?".
Sweet rolls have been a Running Gag ever since Arena, where the scene acted out in Fallout 3's CharGen dungeon is only merely postulated in CharGen (as it is in Daggerfall and Morrowind too).
The book "Great Harbingers" details several prominent past Harbingers of The Companions. The first non-Nord to assume the illustrious title was a redguard named "Cirroc the Lofty". Cirroc Lofton, an african-american actor, portrayed Jake Sisko (who, ironically, was not a martially apt character like a Harbinger like Cirroc) in Star Trek: Deep Space Nine
In some dungeons, there are treasures resting on pressure plates that trigger a trap when you pick them up. Even better, you can even switch the treasure for something else of similar weight if you're fast enough and avoid springing the trap.
There's even a preset for male Nords that looks like Mel Gibson as William Wallace.
Delvin Mallory, a Thieves' Guild contact in Riften, is suspiciously similar to both Vinnie Jones and Jason Statham in accent, appearance and mannerism. His voice and manner of speaking can also be seen as an homage to London Gangster films.
Lucien Lachance channels an evil Obi-Wan Kenobi — he's a ghostly robed figure who guides the player and at one point makes reference to a great disturbance in something. In one mission for the Dark Brotherhood, he'll say: "There is a disturbance in the Void."
If you talk to Imperial soldiers while wearing a Stormcloak uniform, they'll question you about it. One of your dialogue options is to state that you are, in fact, a Stormcloak — to which they call you "Rebel scum".
The design of the frost spiders, with their particularly large upper jaws, is also quite evocative of the movies' Shelob.
Daedric armor looks a lot like Sauron'sarmor◊. Add in the fact you can equip gold rings (which appear on the right index finger) and wield a mace.
And Dragonsreach has a fair bit in common with Théoden's hall of Meduseld, and they both owe a fair bit to Heorot, featured in Beowulf, which is also a real place.
The whole city of Whiterun is definitely based on the Rohirric town of Edoras: Its silhouette when looking from the path to Riverwood resembles Edoras' first shot in the movie The Two Towers, its symbol shows a horse's head on the top half, and the Whiterun Guards wear a yellow uniform, when one of Rohan's colors was that same gold (if a little bit darker). The clincher is that Edoras is described in passing as having a stream which rises from in front of the door of Meduseld and flows through the whole town to exit by the gate: it's such a minor detail the fact Whiterun has the same thing must be intentional.
In Angarvunde, the treasure that Medresi Dran was searching for consists of a broken sword hilt, a skeletal hand, and a gold ring — almost certainly a reference to Sauron's first defeat.
While it might be a coincidence, the story of Olaf One-Eye and Dragonsreach is reminiscent of a Polish folk tale about the founding of Krakow, which states that the first king of Poland took the throne when he slew a dragon and built his castle around its lair, from which the city of Krakow was built out from.
In the quest in which the player (has the option to) obtain the horse Frost, you will also receive Frost's lineage papers. Upon reading said papers, the player will discover - among other things - that Frost's father was Sleipnir. Sleipnir was Odin's horse (and Loki's child) in Norse Mythology.
Frost himself may be a reference to the Robert Frost poem "Stopping By The Woods On A Snowy Evening".
Look at the Elven class of Light Armor in Skyrim. Then, look at the armor worn by the elf armies in the Lord of the Rings films.
For one of the quests in the College of Winterhold, you need to make contact with the Augur of Dunlain, a former student. He was the brightest mage of his age, but after a horrible accident, he took to hiding in the tunnels beneath the college.
After fighting Frostbite Spiders under Helgen, Hadvar will sometimes comment "What next, Giant Snakes?"
College of Winterhold quest line. Crawling through an old underground complex. Disembodied, creepy, deep voice of a monster talking to you. One of the things it says that you can actually understand? Something to the effect of "You are not Savos Aren." S. Aren.Saren?
Given that he constantly refers to him as only Aren after, and the fact you only see Savos in this quest as a shade, it might very well be a sneaky reference to another old archmage who's only encountered as a shade, Nielas Aran.