The scene of Shadow meeting Jesus (or, rather, one of the Jesuses) is based on a scene Neil Gaiman had written for the novel but ultimately decided not to include.
When Media reminds Easter that Saint Nick took the same deal, Saint Nick that she mentions is Saint Nicholas, commonly known as Santa Claus in western culture.
While telling the story at the beginning of the episode, Mr. Nancy says "Anger gets shit done." He says this same line in his first appearance in episode two.