Meta-reference is made when an unnamed character speaks and Alan says, "You're an extra, you don't get to talk."
William Shatner actually is an extremely talented equestrian, married to a horse trainer (Elizabeth Shatner) and owns a 360 horse ranch in Kentucky. He also started a charity in 1990 based around horses and has raised over 1.25 million dollars that benefits children.
The sorrel horse that Denny Crane (William Shatner) is riding in the opening scene is the same horse he was riding with the rancher client in Season 4 Episode 18 Indecent Proposals.
"Streets of Laredo" also known as the "Cowboy's Lament", is a famous American cowboy ballad in which a dying cowboy tells his story to another cowboy. Members of the Western Writers of America chose it as one of the Top 100 Western songs of all time.