In one episode, Paulie says, "I lived through The Seventies by the skin of my nuts when the Colombos were goin' at it." Tony Sirico, the actor who plays Paulie, actually was an associate of the Colombo crime family before turning to acting.
There are several references to Bruce Springsteen in the show (Chris: "The turnpike is jammed with broken heroes on a last-chance power drive."), whom Steven van Zandt has played with for years. But it's difficult to tell if it's a deliberate Allusion because, hey, it's Jersey.
A recursive one. The lead in Christopher's movie Cleaver is named Michael. The character is based on Chris himself, who is played by Michael Imperioli. In-universe it is probably a Shout-Out to Michael Corleone from The Godfather.
Chris shoots a bakery worker in the foot for taking too long with his order. In Goodfellas, he was shot in the foot for taking too long making a drink.
The murder of Angelo Garepe referred back to the death of Billy Batts in Goodfellas; both were beaten, thrown into a car trunk, and shot while pleading for their life. Batts was played by actor Frank Vincent (Phil Leotardo) who reverses his role from victim to executioner.
Michael Imperioli wrote five episodes of The Sopranos and was the only actor to write multiple episodes. This would probably explain Christopher's interest in screenwriting and production.
Fake Nationality: Furio, who has lived his entire life in Italy, is played by Italian-born New Jersey raised Federico Castelluco.
Flip Flop of God: Creator David Chase didn't help the "Did Tony die in the finale" debate by first stating there was no hidden meaning, then saying "anyone who wants to watch it, it's all there", and then later commenting "there's more than one way of looking at the ending." In other words: Tony's dead unless he isn't.
Mean Character, Nice Actor: Fellow actors usually remark that Jimmy Gandolfini was Tony Soprano's polar opposite, a great actor but an even better human being.
David Proval played Richie Aprile, perhaps the worst of all the show's mobsters, but in interviews he comes off as incredibly laid back and friendly.
The Other Marty: Fairuza Balk originally played the FBI Agent Deborah Ciccerone in "Army of One", and the initial broadcast kept her scenes. However, as she could not reprise the role for the character's later planned appearances (due to scheduling conflicts), her scenes were quickly reshot with a replacement actress, Lola Glaudini. The reruns of the episode and the DVD release use the replacement scenes to keep continuity with the character's later role.
Promoted Fanboy: Many prominent New Jerseyans receive cameos, often as themselves; these include Jon Bon Jovi, Lawrence Taylor (of the New York Giants), and Eric Mangini (of the New York Jets).
Many actors in the show were arrested during the show's run. Their real crimes were not that serious though, certainly not on the level of their characters.
Tony Sirico (Paulie Walnuts) was allegedly a member of the Colombo crime family in the 70's and was convicted of robbery and weapon possession.
Lillo Brancato (Matthew Bevilacqua in the 2nd series) was charged with murdering a cop in 2005, and although he was acquitted of that, was still sentenced to ten years imprisonment on a related burglary charge.
Tony Darrow (Larry Boy Barese) was an associate of the Gambino crime family and had been convicted of beating an extortion victim.
Throw It In: Tony putting his hands on a turned on stove at Ralph's house was an actual accident and his reaction is genuine.
Too Soon: After 9/11, the title sequence was re-edited to remove the shot of the Twin Towers from Tony's sideview mirror. Later averted as the new Mafia-FBI dynamic post 9/11 is explored in detail, as the Feds don't consider the Mafia their biggest threat, and the Mafia start to question their "No Snitching" policy when terrorists are involved.