Nibbler is Megatron (and a whooole bunch of other people)
Fry is the voice of the bee from the Honey Nut Cheerios commercials, the red M&M, Doug Funnie (who, like Fry, is a fish out of water who has a crush on a girl with weird colored hair [Patti Mayonnaise is a Dark-Skinned Blonde, while Leela has to have purple hair]), Ren and Stimpys Stimpy (and Ren when the original voice of Ren [John Kricfalusi] was fired). Hell, name a cartoon, Billy Westhas probably been in it.
Kif is The Brain. And The Real Ghostbusters's Egon Spengler. (There's a Crowning Momentof Awesome in one of the commentary tracks, when the head writer asks Maurice Lamarche to do the Brain Voice from episode. Instead, he does the other Brain voice.)
The Curiosity Company Vanity Plate is an extremely obscure throwback to "A Study in Wet", a trippy experimental short film by Matt Groening's late father Homer.
In the episode "Proposition Infinity", you can see Gay Robot from Nick Swardson's Pretend Time dancing in the crowd.
The episode "Love and Rocket" is a series of shout-outs to 2001:A Space Odyssey from Bender singing "Daisy Bell" while on a date with the Planet Express ship's new sentient persona to them visiting the zoo and seeing tapirs.
"Lethal Inspector" does an impressive one without ever outright explaining the joke. Hermes has a cubicle next to the "center square", a sassy gay man who eventually has a large red "X" appear on his desk. It's Paul Lynde, of course, but neither his name nor Hollywood Squares are ever mentioned.
Also, in the Simpsons episode Mayored to the Mob, Üter wears a Futurama shirt (this was long before anyone had heard anything about Futurama in the real world.) In an episode of Futurama, Bender eats the shorts off of a Bart Simpsons doll.
The episode "The Sting" seems to be a giant shout-out to a famous internet creepypast- PLEASE WAKE UP
Other stuff
The MovieBender's Game practically canonises Walt, Larry and Igner's ages when Nibbler says "It was 36 years ago... now" when Mom started drilling for Dark Matter with the intention of selling it. With their ages being only a couple of years apart and Igner being unborn and only just concieved at the time (Mom didn't appear pregnant in flashbacks)...
She had to have been pregnant (but not showing) in the scene where she leaves Farnsworth, because we know who Igner's father is.