In the Police Headquarters, when Sly opens the vault containing his police file, you can see a bottle on top of the vault with a label reading "HOKYO". This is a reference to Hokyo Lim, a concept artist who worked on the first three games in the series.
In an early version of the game, Sly's cane was originally going to transform into different gadgets. These would've included a spray that revealed invisible lasers and a freeze ray that would be used to trap small enemies in blocks of ice and be used as platforms.
Sly was originally supposed to collect bags of money instead of the coins that appear in the final game. When collected, bills would flutter like butterflies into Sly's bag. The idea was eventually scrapped due to localization problems using green money in different countries.
While talking to characters through the Binocucom, moving the analog sticks will cause the characters to move their heads while they're talking.
During the animated cutscenes Sly is depicted wearing black shoes and yellow gloves. However, during gameplay, his shoes and gloves are blue.
During the ending cutscene for "Sunset Snake Eyes," Murry is wearing a Whoopie World Hat from Sucker Punch's first game, Rocket: Robot on Wheels.
When the newspaper comes up after you defeat the Panda King, the quote in the top left corner says "Dude, That's Kickass."
The boss fight with Mz. Ruby is a rhythm based mini-game. In the HD Sly Collection, the music in the fight is remixed. Because of this, the music is no longer synchronized with her attacks. This make the boss fight much more difficult in comparison to the original version.