In the yellow room, the window is a circle with an X in the middle, just like the symbol for Professor Xavier and the X-Men.
In the sedated memory work sequence, we see David stealing his session tapes out of the drawer in his therapist's office. One of the names on the tapes in the drawer is "Mr. Plaza" which could be a reference to Aubrey Plaza, who plays Lenny. The character was originally meant to be male until Plaza read for the show, however she insisted on keeping the dialogue the same as it was originally written
During the Halloween scene where David is a child, his name can be seen written on a sign in the background
The clock in the torture room Amy is in has no hands on it