When Hank (Ted Danson) is putting up the wanted poster in the beauty shop, he mentions that all those people were killed "for what, A little bit of money". That's the same line that Marge (Frances McDormand) said at the end of the movie Fargo (1996).
The title comes from the philosophical book of the same name by Albert Camus. In it, Camus uses the story of Sisyphus, a Greek mythological figure condemned to push a boulder up a hill only to have it roll back down to the bottom; a process he has to repeat for all of eternity. Camus uses the story as a metaphor to explain the absurdity of life and how one should embrace it.
In the butcher's shop, Noreen (Em Haine) is reading a book with the title "The Myth of Sisyphus", which is also the title of the episode.
Charlie (Allan Dobrescu)'s comment about Kansas City "they didn't look like fellas who want to own half a car" could be a reference to a line in Fargo (1996), where Carl Showalter argues over splitting a car.