Some hints that Sethra and Kiera are the same person:
In Taltos, at a point where Vlad is unwilling to climb Dzur mountain to meet with Sethra, Kiera shows up out of nowhere and gives him a pep talk.
In Taltos, when Kiera says that if Morrolan kills Vlad, he'll be dead in less than a year. This sounds like Kiera will take revenge on Vlad's behalf, but it's actually a reference to information that Sethra has: Morrolan needs to journey to Death's Gate, so if he kills Vlad, he'll have to go alone and probably won't come back.
That revelation also makes Kiera's observation that whomever the man she's investigating in Orca might be, he isn't Sethra Lavode a Moment Of Funny.
Orca: When Vlad and Loiosh first meet Sethra Lavode, Loiosh wonders if they've ever met her before.
Kiera's aversion to psychic communication makes perfect sense once you learn this about her, as psychic contact is too intimate and distinctive to deceive the listener as to whom they are mentally speaking with.
There's a minor digression in Phoenix in which Vlad notices that Rocza is acting a bit oddly, so he asks Loiosh if she might be pregnant. This doesn't seem important, until you go back and re-read it after learning about Vlad Norathar, and take note of Loiosh's reply that Rocza is very close to the absent Cawti. Cawti must've been pregnant by then.
Issola: Vlad inspects the Morganti blade given to him by the Jenoine, and notes that it's somewhat blade-heavy for his preferences. This foreshadows how Spellbreaker wraps itself around the dagger's hilt when it's transformed into Godslayer/Lady Teldra, thus adding to the grip's weight and balancing out the weapon.
Also, Spellbreaker's tendency to change length and thickness each time Vlad deploys it is an early indication that Godslayer will be a Morph Weapon.
In The Paths of the Dead, Morrolan, Arra and Teldra fight some Eastern villagers who couldn't understand their language, and Teldra ponders how it might not have been necessary if only they could have spoken to each other. Hundreds of years later in Issola, Teldra uses her ability to speak Jenoine to prevent a fight from breaking out. Had she been studying languages ever since PotD, in hope of averting needless bloodshed?
Jhereg's colors are grey and black. For Dragaerans, grey is the color of death while black is the color of sorcery. This is a reference to the two major branches of House Jhereg, which are known for their assassins and their sorceresses. Grey and black are also very similar to the silver-and-black of the Dragon House. The original Jhereg Tribe was founded by an outcast Dragon.
Aibynn's use of drumming to open up a pathway to Verra's realm at the end of Phoenix seems like a complete Deus ex Machina at first, given there's no other hint that he's got any magical or psychic talents. But when you consider the nature of the Dragaeran afterlife, and the fact that Aibynn is a ritual ("surfy") drummer by preference, it makes sense: pure-blooded House members find their way through the Paths of the Dead using information from books unique to their individual House, but the natives of Elde and Greenaere have no Houses. As cross-breeds, they can't navigate the Paths the way House members do, so their culture found an alternative method of getting to the Halls of Judgement, using mystical drumming rites (possibly necromantic?) to open the way for the deceased.
The epigraphs go through the steps of Vlad's creation of a witchcraft spell to call an object to him while he's in the Halls. He starts "hearing" a low but powerful beat and recalls how witches back East sometimes used drums as part of a ritual. Aibynn the drummer is thus apparently practicing a very particular kind of witchcraft that Vlad briefly touched in Taltos, one which allows people and things to move from the living world to the afterlife.
In Five Hundred Years After, the chaos-stirring events that culminate in Adron's Disaster take place in the month of the Vallista: the House whose Hat is "creation and destruction". The first days of the Interregnum, during which the mortally-wounded Empire fell prey to unrest, brigandage, invasion and economic collapse, took place in the month of the Jhereg: a House whose heraldic animal scavenges the carcasses of the dead.
Morrolan's casual use of Blackwand to destroy souls makes more sense after Hawk reveals that Great Weapons need to feed, either on souls or on energy from the Orb. While Blackwand can get by on the latter nowadays, Morrolan first acquired her before Zerika retrieved the Orb, so he had to get used to letting her eat souls before an alternative became available, shaking off whatever Eastern-style distaste for the practice he might've been taught by his foster caregivers.
In Orca, the various bank and business officials have titles like "pointer" instead of being called president, chief executive, etc. Such titles in Real Life are strongly associated with representative government, and the only time that Dragaera is ever governed by such a system is when there's a Teckla Republic: the very regimes which oust the Orca from power. Naturally, business-minded Orca wouldn't consider such titles appropriate as a mark of authority or prestige.
Some of the animals of the Cycle have Fridgy aspects:
The chreotha, a web-spinning fox, seems like one of the more arbitrarily-bizarre animals from a slate of weird Cycle-associated creatures. But when you consider that the House of Chreotha has sly cunning as its Hat, it makes more sense: both foxes and spiders are traditionally portrayed as The Trickster in folklore and fables.
The lyorn, which embodies the House of tradition and order - hence, of the bedrock of civilized life - is the only Cycle animal based on a domesticated species.
The teckla is the only pure herbivore in the Cycle. Before the Empire, it's the Teckla who invented agriculture and domesticated plants.
The jhegaala, symbol of the House of transformation, passes through a life cycle in which it sometimes looks like an egg, sometimes like a toad, and sometimes like a moth. Both toads and moths are the products of metamorphosis - the former from a tadpole and the latter from a caterpillar - and an egg houses something (an embryo) that is constantly transforming.
Vlad's reluctance to involve Morrolan and Aliera in his personal dilemma as a hunted man, even after he's been dragged into so many of their crises, makes more sense when you look back at the list of Jhereg who'd worked for him when he was running his area, and realize that Kragar and Glowbug are the only long-term subordinates he'd had who didn't either get themselves killed or betray him. Combined with how Morrolan was killed temporarily in Jhereg, it's likely Vlad is more concerned for his friends' safety if he keeps hanging around with them than he'd ever admit, especially to them.
In Iorich, a four-year-old Eastern child (Vlad Norathar) has a ceramic hawk statue for a toy. This sounds like an accident waiting to happen, given how poor the motor skills of a boy that young are likely to be. However, Orca implies and Hawk verifies that Dragaerans who can afford it can have their glass windows enchanted to be unbreakable. Presumably the ceramic hawk was invested with the same protections, so it can't shatter and cut its young owner's hands.
Loiosh's last-minute decision that Rocza shouldn't accompany him and Vlad through Morrolan's magic window in Issola makes perfect sense: the first time Loiosh accompanied Vlad to another plane of reality, the jhereg was only allowed to leave the Paths of the Dead because Vlad and his familiar share the same fate. Rocza is Vlad's companion and Loiosh's mate, but not Vlad's familiar, so would have no such guarantee of passage if they wound up in a similarly hard-to-exit planar locale.
In Hawk, Vlad briefly gripes to Morrolan that he's jealous of all the people he knows who have titles beginning with "the" - the Necromancer, the Warlock, the Sorceress in Green, the Blue Fox - and wonders why he doesn't merit one. But Vlad already has such a title, and has most likely had it since the events of the very first novel: Loiosh has simply never mentioned it to him that Rocza refers to him as "the Provider"!
Vallista shows that each House has its own means of conveying the knowledge necessary for its members to navigate the Paths of the Dead, such as tattoos or embroidered shrouds. It's implied that each House's method is unique to its internal culture and mindset. Yet Zerika used a Book of the Phoenix to educate herself in how to make this journey in Paths of the Dead, much as Morrolan cites a Book of the Dragon as having prepared him to do so in Taltos. This makes it sound as if two different Houses are sharing the same form of education on the afterlife (books) ... except that Zerika, a Phoenix by blood, was brought up by Dragonlords. So it's possible that Sethra transcribed whatever method of guidance House Phoenix traditionally employed into a book for Zerika's training specifically, so the Empress-to-be could learn from a reference whose format she was familiar with.
Orca: Kiera notes in her narration about an odd expression on Vlad's face, likely an indication that he and his familiar were telepathically making snarky comments.
Events in Issola may well explain the Big-Lipped Alligator Moment in Teckla when Spellbreaker reared up and wriggled around in Vlad's palm while he was suicidally-delirious. It has sensed his disoriented intention to kill himself, and was actively searching the room for a Morganti weapon that Vlad could use on himself, so the chain could bond with the fatal blade and create Godslayer with Vlad's soul inside it.