Princess Azula makes a "cameo" appearance - she can be seen standing next to Iroh when Ozai punishes Zuko. Technically, this marks Azula's first appearance in the show (outside of the opening credits), but she isn't identified or named this time. The viewers don't even learn of her existence for another eight episodes, and don't hear her speak for another nine.
The Air Nomads have many parallels to real world Buddhist monks, including the way in which they discover a reincarnated leader. The method of hiding artifacts from past lives amidst mundane items and observing whether a prospective child Avatar correctly chooses the artifacts is based on one of the many tests used to discover the reincarnated Dalai Lama.