Contributed by Ghost
In the games files there is an unused Pit or Arena Called "Windhelm Pit Entrance". Entering the Pit spawns 2 Argonians (Both Male), Nords, Dark Elves and Imperials NPCs, They are all called 'Pit Fans', who are supposed to be spectators. It is believed that Windhelm was going to have an arena at some point of development where you would face against animals or NPC Bandits. There are also Pit guards who are fully voiced, but they cannot be viewed during normal gameplay. The place can be viewed by entering the console commands "coc WindhelmPitEntrance".
Contributed by Duckmuffin
Charles Martinet, voice actor of several main characters from the Mario series, voices Paarthunax.
Contributed by Milkman
Southwest of Winterhold, in Bleakcoast Cave, there is a part of the cave guarded by frost trolls where you will find parts of a skeleton hanging from the icy ceiling. On the ground below it is a Steel Greatsword of Weariness. This is a reference to Star Wars: The Empire Strikes Back in which there is a scene where Luke Skywalker is stuck to the ceiling of an icy wampa cave and must use the Force to retrieve his lightsaber to cut himself free.
Contributed by Chronowarhead
At the very top of the Throat of the World, there is a special pickaxe that the player can obtain. The name of this pickaxe is 'Notched pickaxe', and is thought to be a reference to Minecraft creator Notch.
In Endon's House in Markarth, there is a shelf in the back of the room with Sliced Goat Cheese, a row of Garlic, and some Glow Dust arranged to look like a scene from Pac-Man.
Slightly Northeast of Bleakwind Basin, there is a pond with a skeletal arm holding a leveled sword, which is a reference to the Lady in the Lake in the legend of King Arthur.
The Dragonborn DLC contains a reference to Morrowind in which a Wizard casts a spell attempting to fly but winds up ultimately falling to his death.
The DLC Expansion for Skyrim, "Dragonborn", contains many of the music tracks that were previously found in The Elder Scrolls III: Morrowind. This is fitting, seeing as the game is set on the island of Solstheim, in close proximity to the Morrowind region of Tamriel.
Contributed by Hessian
The popular phrase, "I used to be an adventurer like you, until I took an arrow in the knee" started because Skyrim was the first Elder Scrolls game to not include greaves (knee armor).
Contributed by BetaLoot
The guards in Skyrim will more often then not say "Let me guess, somebody stole your sweetroll" to the player, this is a gag that Bethesda Softworks have been running since the very first Elder Scrolls game.
During the night, you may encounter a Headless Horseman, a reference to Washington Irving's "The Legend of Sleepy Hollow".
In the Dawnguard DLC, in the room to the left of the grand hall of Volkihar Keep, there is a display case containing a hagraven's claw, a sabre cat's eye, a daedra's heart, a dog's ribcage, and a gold ring. This is a nod to Castlevania II, in which Simon Belmont must collect and destroy the nail, eyeball, heart, ring, and ribcage of Dracula to defeat him.
When Athis is asked why he joined the Companions, his response is "Fortune and glory, friend. Fortune and glory." This is a reference to a very similar line from Indiana Jones and the Temple of Doom.
When near Sheogorath, he will sometimes say "Do you mind? I'm doing the fishstick. It's a delicate state of mind." This is a reference to the Fishy Stick meme which began on Bethesda's Official Forums and went on to become a running gag in Elder Scrolls games.
Directly south of Markarth, near Purewater Run, there is a stone bridge near a waterfall. If it's your first time there, you'll see two goats walking on the bridge, and then a third one climbing up from under the bridge to join them. If you go under the bridge you can find a dead troll. This scenario is a reference to the Norwegian fairy tale "Three Billy Goat Gruff".
During the quest "Proving Honor", if the Dragonborn asks Farkas if the companions are werewolves, he ends his response with "It's a secret to everybody." This is a reference to The Legend of Zelda series, where this phrase is infamously repeated.
Just south of the shrine to Peryite, you can find a skeleton about halfway up the mountain. If you look just to the side of the skeleton you will see a sabre cat stuck between two rocks with a weapon lodged in its head. This is a reference to a scene in the movie "300" where Leonidas leads a wolf to a narrow passage, and then stabs it in the head with a spear.
In Vilemyr Inn, Ivarstead, you'll find a woman by the name of Temba Wide-Arm. Her name is a subtle reference to the Star Trek: The Next Generation episode 'Darkmok', in which Picard and his crew encounter a race of aliens called the 'Tamaraians'. At one point, Picard is stuck on a planet's surface. He attempts to make a fire, but fails. A Tamarian named Dathon takes a branch from his own fire and throws it to Picard, saying "Temba, his arms wide", to make it clear the fire was a gift.