Mike says "The horror. The Horror... I embrace it!" Also, the first boss in the game, the Vietnam vet turned serial killer that Mike finds in prison, quotes The Doors with "This is the end beautiful friend." After Mike defeats him, a notes from the same The Doors' song "The End" play.
The bar Mike owns and uses as his base of operations is named 'The Wild at Heart' and is located in the French Quarter of New Orleans. This is a reference to the David Lynch film Wild at Heart (1990).
The killer Dr. Victor Batrachian is obviously based on the character of Dr. Hannibal Lecter; also, the New York level takes place in a derelict, dark building (the power having been cut), the player surrounded by flying canaries (much like the moths from the film) and stalked by a killer wearing night vision goggles