The Nightfall theme in Shenmue is an arrangement of the song "Outride a Crisis" from one of Yu Suzuki's previous games, Super Hang-On.
Contributed by MyAliasIsIan
There is a hidden image inside Xiuying's eyes that acts as the reflection, presumably representing a generic "player" that she is looking at.
The texture for her face is also mirrored on the back of her head, hidden under her hair.
Contributed by ABOhiccups
During the early stages of development, Shenmue featured a bicycle that could have been used to quickly transverse town.
Contributed by CosmykTheDolfyn
In Ryo's house, under the TV in the main room is a cupboard containing a Sega Saturn. The game is set in 1986, which is about 8 years before the release of the Sega Saturn. This is a reference to the fact that Shenmue was originally designed to be on the Saturn.
Contributed by retrolinkx
Shenmue began development on the SEGA Saturn, and was later reworked for the SEGA Dreamcast. The lengthy development process is one reason the game cost $47 million to make. It was previously thought to cost $70 million, but that was said to be an exaggeration. At the time of its release, it was the most expensive development process in history. The current record belongs to Grand Theft Auto 4, costing around $100 million to develop.
Contributed by retrolinkx