The Thief series also has some pretty entertaining ones :
In the first game (The Dark Project) one of the taverns in a shanty part of the city has a signboard that reads "McDonaugh's".
:
In the mission Strange Bedfellows (TDP) you can find a prayer book of the Hammerites (the Church of the Thiefverse) which says: "
Hadst I a hammer, wouldst I hammer in the morning. Wouldst I hammer in the evening, all over this land." This is a reference to the opening lyrics of the song "If I had a Hammer".
There is a whole heap of references to Lovecraft and his Cthulhu mythos in the Lost City mission in TDP... The ancient and once great race of the amphibian Kurshoks (from the third game) resemble the creatures from the old monster/horror B-movies
Creature from the Black Lagoon,
Island of the Fishmen or partly Lovecraft's Deep Ones.
Another TDP mission (Song of the Caverns) takes place mainly in the local opera house. References to Andrew Lloyd Weber's musical
Phantom of the Opera galore : A lot of the characters from the mission are named after characters from the play (Raoul, Giry, etc.), the guards whistle the main theme of PotO, etc. etc.
Bucketloads of subtle references are made to Umberto Eco's
The Name of the Rose (especially in the Keeper Compound mission in the third game). If you read the novel carefully, you'll recognise them pretty easily (some are directly transplanted from the book and modified to fit the game's universe).
The anti-hero protagonist Garrett is himself a sort of pastiche of several fictional or legendary characters : Batman, Phil Marlowe, Arséne Lupine, partly Robin Hood. His trick arrows might have drawn inspiration from Green Arrow (and similiar comic book characters).
Several other references can be found here :
http://thief.wikia.com/wiki/Easter_Eggs#In-Jokes
"You... silly Billy !" (Clarence, Penumbra : Black Plague)