Here are a list of known Easter Eggs

Choose Your Own Adventure:

A Choose Your Own Adventure style book can be found in Kolb and the Dragon.

The Bourne Series:

The Black Briar clan in Riften may be an allude to the Bourne Series of books and movies.

The Clive Barker Connection:

In Riften, you can receive a small box called the Lexicon for the quest Unfathomable Depths from an Argonian named From-Deepest-Fathoms, who is MORE than happy to get rid of it. The Lexicon STRONGLY resembles the Lament Configuration(the puzzle box) from the "Hellraiser" horror movie series.
In the lair of the Dark Brotherhood the little girl named Babette is an easter egg to a little girl in the movie "Nightbreed".

Galaxy Quest:

As you walk into an inn, two people who work there are talking about the smell of the cellar. One says "It smells like a foreign animal was turned inside out, and then exploded!" Clearly a referance to Galaxy Quest.

Lord of the Rings:

In Whiterun, the giant tree there is called the Gildergreen. It is grown from the Eldergleam, the oldest living thing in Skyrim, but is failing. This references the Gondorian captial of Minas Tirith in Lord of the Rings: Return of the King, where the legendary White Tree faces a similar fate.

The Legend of King Arthur:

If you have found Broken Tower Redoubt, directly south of it there will be a place called Rebel's Cairn where you will find a pile of stones in the front of the cave and there will be a Steel Sword in the top stone, which is a reference to the sword in the stone in the legend of King Arthur.
Slightly Northeast of Bleakwind Basin, there is a pond with a skeletal arm holding a steel sword coming out of it, which is a reference to the lady in the lake in the legend of King Arthur.

The Legend of Zelda:

When you travel with Farkas on your first quest to join the Companions, Farkas shows you his werewolf form in a battle. Upon discovering this, he tells you "It's a secret to everybody," a reference to the saying by a moblin who resides in a hidden cave in the first Legend of Zelda game.

Minecraft Reference:

On the top of The Throat of the World, one can find the Notched Pickaxe in a stone.

Monty Python and the Holy Grail:

During Roggvir's execution, he yells "Get on with it!". This is likely a reference to a scene towards the end of the film Monty Python and the Holy Grail.
When fighting, people occasionally yell "It's just a scratch!" which is a possible reference to the scene with the black knight in which his arm is cut off before exclaiming said phrase.

Star Trek Reference:

In the village of Ivarstead there is a woman named Temba Wide-Arm. This is a reference to the Star Trek: The Next Generation episode Darmok, where one of the often-repeated phrases is "Temba, his arms wide."

Three Billy Goats Gruff:

On your way to Hag Rock Redoubt, there is a bridge with a dead troll underneath. If it's your first time visiting, you will witness two goats meeting a third at the end of the bridge then running off together. This is a reference to the children's tale, "Three Billy Goats Gruff," where a troll is defeated by a trio of goats.

Star Wars Reference:

During the Companion quest "Animal Extermination", inside the cave you are sent to, there is a skeleton hanging upsidown from the ceiling. Below the skeleton is a glowing sword. This may reference to Star Wars when luke was caught on Hoth and hung from the cavern ceiling. The sword below representing his lightsaber.

Let The Right One In Reference:

Babette, a member of the Skyrim's Dark Brotherhood, is a possible reference to the Swedish book and movie of the same name Let The Right One In, aka Let Me In. Both she and the book's major character Eli were turned into vampires at a young age (Babette 10, Eli 11), and upon first entering the Sanctuary Babette is telling a story of her last contract in which it is heavily alluded that she used her seemingly young age to beguile a pedophile into following her to a dark alley where she completed her contract by killing him. Let the Right One In has a pedophile character named Hakan who has a relationship with Eli.

Babette may also allude to Claudia, a child-turned-vampire from The Vampire Chronicles. Claudia is known in Interview with the Vampire to use her age to charm her victims. She also uses a poison of her own making to poison her "dark father" and gashes his throat, both techniques expected of an assassin in the Dark Brotherhood. The creation of her own poisons is also a connection to Babette being an alchemist.

Army of Darkness:

At the beggining of the game when you get off the cart and into Helgen, one of the other prisoners (the one in front) is adamant that he is innocent, "No, I'm not a rebel, you can't do this!" which is a reference to Henry the Red's men in the Army of Darkness, in which one of his men say a similar line and run away, and also get killed by bow and arrow.

Beowulf (Norse Myth):

The town, High Hrothgar, is a reference to the character Hrothgar from Beowulf.

The Headless Horseman

At night on the way to Northwatch Keep for the "Missing in Action" mission, you have a chance of encountering a spectral horseman without a head galloping toward you full tilt. He carries an axe on his back, which is likely a reference to Tim Burton's Sleepy Hollow. If you follow him, he takes you to a graveyard were there are several skeletons to fight and a chest which is Master lock pick. It contains several enchanted items.
The Wheel of Time

One of the checkpoints is Mount Althor - complete with a dragon. This may be a reference to Rand Al'Thor, the Dragon Reborn, born on Dragonmount, from the Wheel of Time.

Alice in Wonderland:

When Sheogorath is first encountered he is conducting a teaparty in the middle of a forest, which is referencing the Mad Hatter (a fellow madman)'s tea parties. The plate nearest Sheogorath also has a mammoth snout on it, and in the American Mcgee's Alice, and Alice: Madness returns video games snouts serve as collectible items.

Historical References:

The East Empire Company is a Branch of morrowind's East Empires Company in Ebonheart which is Probably a reference to the East India Company.
Previous Games ReferencesEdit

M'aiq the Liar:

M'aiq reappears in Skyrim. He appeared in Morrowind and Oblivion, as an Easter Egg for developers to comment on some of the requested features that were removed or added.

A Song of Ice and Fire books:

There is an NPC in Dawnstar named Horik Halfhand, a reference to the Qhorin Halfhand character in A Song of Ice and Fire.

The name Dawnstar seems to be a mix of A Song of Ice and Fire's castle, Starfall, and Arthur Dayne's sword, Dawn. The Daynes are the lords of Starfall.

The city of Winterhold may be a reference to the castle of Winterfell in the A Song of Ice and Fire books. Both are located in the far north and the lord of Winterfell, Ned Stark, is disregarded and called a traitor, much like the Jarl of Winterhold.

The Elder Scrolls III: Morrowind:

Some NPC's in the game comment "Let me guess, someone stole your sweetroll." or something along those lines, this is a clear reference to Fallout 3 where the bully at your birthday party demands you hand over your sweetroll that was given to you as a gift. The Fallout event is, in turn, a reference to the character creation process in the Elder Scrolls III: Morrowind, wherein the player character is asked how they would react to a bully stealing their sweetroll in order to determine the player's class. The stolen sweetroll is thus a long-running Bethesda joke. It can also be found when creating your character in "Daggerfall", the second Elders Scrolls game Bethesda released.

The Elder Scrolls IV: Oblivion:

Lucien Lachance returns in Ghost form when you obtain the power "Summon Spectral Assassin".
Upon finding a Crimson Nirnroot (see bottom of the page) you start a quest named, "A Return to Your Roots" which is a reference to Oblivion's Nirnroot quest.
The Gray-Fox statue can be found in the blockaded house in Riften.
The husk of a giant mudcrab can be found within the plains surrounding Whiterun, continueing the giant mud crab tradition from prior games. It is, however, very much dead upon discovery, unlike in Oblivion, where the giant mudcrab is alive and fightable.
In the Dark Brotherhood, if you read Cicero's Journal Volume 1, he writes; 27th of Rain's Hand, 4E 187 Completed the Arena contract. I ultimately decided to pose as a starstruck fan, and immediately got into the Grand Champion's good graces. While escorting the arrogant fool through the Great Forest, I slashed his throat and left the corpse for the bears. This is a reference to the Adoring Fan in Oblivion.
If you fail a persuasian check when first encountering Nelacar in the Azura's Star quest, he says "Right, now tell me the one about the Argonian maid and the lusty baron." This is a reference to the book from the Elder Scrolls series: The Lusty Argonian Maid.

Source: Easter Eggs (Skyrim)