Shireen makes fun of Davos' pronunciation of the word "knight", using John Cleese's pronunciation of the same. The untranslated insults that Oznak zo Pahl hurls at Daenerys are based on the dialogue from the French Taunter scene in the film.
Oberyn says "Some believe the sky is blue because we live inside the eye of a blue-eyed giant"; in "Lord Snow", Robb mentioned that Old Nan had told him such story.
Cersei quotes the words Tyrion told her in "The Prince of Winterfell": "A day will come when you think you are safe and happy and your joy will turn to ashes in your mouth".