Esmé says that the fortune teller should move to the city and be on television, to which Olaf replies "I did that for 9 years and look where it got me." This is an in-joke that refers to Neil Patrick Harris' time playing Barney Stinson on How I Met Your Mother (2005).
The amused audience member at the sideshow matinee is played by David Burtka, who in real life is married to series star Neil Patrick Harris.
Root beer is Lemony Snicket's favorite drink. Teenage Lemony mentions root beer quite a bit in the book series All the Wrong Questions.
The two young blonde children attending the show towards the end are played by Neil Patrick Harris' real life twin children Gideon Burtka-Harris and Harper Burtka-Harris
Olaf hears a rustling outside and asks, "Who could that be at this hour?" That's a reference to the All the Wrong Questions book series by Lemony Snicket. It's one of the "wrong" questions to ask when you're looking for answers.