When Jim Gordon runs into Bruce Wayne at (what will become) the Orgy, you can see the Silhouette of Batman in Wayne's shadow.
When Harley turns down the amp of her guitar the dial clicks from 11 to ten, a reference to Spinal Tap's turn it up to 11.
King Shark's drum kit and rotating cage is a replica of Tommy Lee (Motley Crue) kit from the 1987 Girls Girls Girls tour.
During the orgy a smiley face button can be seen on one woman's underwear, a reference to the Watchmen and the Comedian.