Oblivion's main theme is used in a North Korean propaganda video.

In Oblivion, you can find a journal called "Macabre Manifest" which belonged to a grave robber. It includes:

Oford Gabings - Anvil

Travel Cloak with Silver and Green Leaf Fastener
Enchanted Shortsword with Inlaid Writing
Gold Ring with Inscription (Cursed?)
Leather Bound Travel Journal

This person is obviously a reference to Frodo Baggins (Oford Gabings is an anagram for Frodo Baggins, which further cements this reference) from Lord of the Rings. Upon completing the quest you receive a ring which looks very similar to the "Ring of Power".

The statue in Chorrol in front of the south gate is a rendition of the Pietà, one of Michelangelo's finest works.

There is a small bridge just past the Mouth of the Panther, east-southeast of Bravil. Underneath you will find the remains of a Dead Troll. Reminiscent of the children's fairy tale "Billy Goats Gruff", you will find A Poorly Scrawled Note on the body, explaining its failure as a bridge troll

Mee wurst troll evurr
nobuddy pay brijj tole
me nott sceary enuf
mee gett drunc an kil sellf
troll droun

Certain shops in the Imperial City appear to have been named in honor of restaurants in Maryland, home of Bethesda Softworks. Amongst such are The Main Ingredient and Three Brothers.

As a reference to Julius Caesar, Emporer Uriel Septim spouts numerous quotes from the play itself in the final moments before his death.

In the final Thieve's Guild quest, you're tasked with a seemingly dangerous escape in which the game recommends you equip the Boots of Springheel Jak (enchanted boots provided by the quest that add 50 to your acrobatics). Doing so will protect you from the fall due to a scripted event but the boots are destroyed in the process. However, should your actual acrobatics skill be high enough and/or you have sufficient health, the fall is easily survived without them and you can keep them permanently if you don't equip them before you jump.