Pepper (Naomi Grossman) is the first character to be shown as the same character in more than one season. She was an inmate in season 2 (Asylum) and season 4 (Freak Show) shows her life as a performer before Asylum.
This episode opens with the theme from David Lynch's film The Elephant Man (1980).
The costume and make-up that Elsa (Jessica Lange) wears while performing "Life On Mars" by David Bowie is a homage to the same costume and make-up that David Bowie wore in his video for the same song.
The musical theme played throughout Season 4 (Freak Show) is taken from the opening notes of the song "Black Sabbath" by Black Sabbath. It is played an octave or two higher and on violins, however. It is also played during the ending credit sequence of each episode.