When Sax visits a prostitute whilst hunting down a lead he interrupts her and her client. The shot of their discovery is a reference to a scene in The Shining (1980).
When Sax meets with the sketch artist, Emil, he admits that he also hears "voices" like Sax does (referring to Happy). Later in the episode the viewer's are shown Emil's sketch which features a cartoon fox in front of the more-realistic Evil Santa. This implies that the voices that Emil refers to may actually be an imaginary friend like Happy.