The George Brett reference is the story of the Kansas City Royals coach, George Brett crapping his pants.
When Quagmire is going through the movies, he names a few. Lastly, he says "A Million Ways to Die in the West (2014)? No thanks." That movie was made by the show's creator (and Quagmire's voice actor) Seth MacFarlane.
The title is a reference to the "Rocky" film series.