There's quite a few here. They're mostly to Kamiya's previous games and other Sega series, although you'll also see a few pop references here and there. Visual, lines, weapons, moves and trophies/achievements.
Perhaps an Expy, but consider Vigrid. Well-armed security forces, people openly walk around in holy dress...Vatican City with another name? (And possibly transplanted to France...)
This probably means less than the others, but the Evangelion and Bayonetta soundtracks have similar naming schemes for the tracks: [letter]-[number] [title] (i.e. "A-1 Rei I" in the former and "EV 01 Beginning" in the latter).
Rodin dispenses quite a few whenever you drop by his shop:
That chapter's game play is ripped straight from Space Harrier, bosses and all.
The music for that chapter is a remixed version of the Space Harrier theme. Also the music for the motorcycle portion of Chapter 8 is a remixed version of the theme from After Burner, another classic Sega game. In both cases you can change the soundtrack to the original retro versions by holding down L1 and L2 (for PS3) or LB and LT (for 360) during the preceding cut scenes.
And the font for the display in the motorbike section control instructions? Straight out of Hang-On, Sega's 1985 motorbike-based classic.
In one of the early scenes where Bayonetta gets a ride from Enzo, the radio in Enzo's car is playing "Magical Sound Shower", one of the music tracks from the original Out Run.
Bayonetta's Panther form resembles a black and gold Amaterasu, including shoulder flares (from the beltstraps on Bayonetta's arms) even causing black roses to sprout behind her as she runs.
At the beginning of the game, Bayonetta and Enzo are conducting the funeral of a guy named "Eggman" and the angel Halos which comprise the game's currency seem and look awfully familiar.
Turns out the halos aren't a Sonic reference, though Kamiya outright stated "if it makes the fans happy, sure, why not?"
One of the demonic beasts Bayonetta can summon is a reference to Phantom from Devil May Cry. Both happen to be giant demonic spiders filled with lava. Oddly enough, it's portrayed in almost the opposite way; this demon is one of only two demons referred to positively. It is described as curious, rare, and willing to offer treasures or rare knowledge to those who find it, as opposed to the others which are for the most part described as brutal monstrosities.
Games Radar notes all these, and more (such as a subtle one to God Of War) here.
If you beat the game on its hardest setting, you unlock a weapon called Pillow Talk, which is basically a green, lightsaber-ish sword, and was taken straight out of Okami (including the name), in which it was wielded by Waka during both battles against him.
If you want to get really hardcore on this reference, Pillow Talk hosts a charge attack that will extend the blade and power, and hosts a cool but lengthy secret special attack that has Bayonetta perform a clockwise brandish before slicing downwards, unleashing a beam of energy when fully charged. Older fans will realize that these moves and even the weapon itself are brought over from the repertoire of Hayato Kanzaki of Star Gladiator fame. More fun references, Mahavirocana, the demon that inhabits Pillow Talk, is the king of Asura in Hinduism, and Hayato's blade extending move is called Asura, and his downwards energy wave slash is called Engetsu, meaning Full Moon. Even in Okami, Waka unsheathes Pillow Talk in the same fashion as Hayato. Someone down at Platinum must be very proud of Star Gladiator in his resume, and for good reason too, the game was Capcom's first foray into the 3D genre.
The Golem boss in Paradiso is basically an upgraded version of Yami, endboss of Okami.
Back in the SMS days, the Sega-sponsored anime Zillion was popular enough to spawn two video games, laser tag merchandise, and more. And so we have the Bazillions.
The symbol on Bayonetta's chest, when combined with the crescent-moon shape cut out of her catsuit, forms the symbol of the Oboro clan from the PS2 Shinobi game.
And isn't even all of them. To put it lightly, there is aFAQ dedicated to the amount of shout outs in this game, and it STILL didn't cover all of them.
Eating a Mega Yellow Moon Lollipop will give you a coloration and aura almost identical to Super Sonic's. Adding a Mega Bloody Rose Lollipop give's you Hyper/Super Shadow's aura and color.
In Chapter 5, you encounter two mini-bosses named "Grace and Glory". This is quite possibly a Jet Set Radio reference, because the final boss theme in both games of that series are also called "Grace and Glory".
In the "Angel Attack" mini-game, you can faintly hear music from classic Sega games like After Burner and Outrun when the mini-game's title is said.
