Stavros Milos, portrayed in the series by Oliver Platt, is the same name of the character who is in love with a sheep in Woody Allen's "Everything You Always Wanted to Know About Sex * But Were Afraid to Ask", portrayed by greek actor Titos Vandis.
When Malvo goes to visit Milos, he looks at a painting of a red ice scraper; this is a reference to the ice scraper that was used to mark the location money buried under the snow in the movie "Fargo".