The guards in Skyrim will more often than 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".

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 Goats 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.