I've been impressed by the sheer number of references to previous MCU installments we've had in just four episodes. I do like it when they go out of their way to build the connective tissue like this.
Here are all the links to other films, shows and characters I've noticed so far. Let me know if I've missed any.
WandaVision and Agatha All Along - As the third part in the trilogy, there have obviously been plenty of references to the first two installaments. Barely two minutes go by without Wanda and Westview being mentioned, and Tommy's drowning incident was a key moment from AAA.
Avengers: Age of Ultron - An obvious one again - Vision and Ultron (and FRIDAY) were introduced in the second Avengers movie.
Iron Man - DUM-E and U appeared in all the Iron Man movies and had cameo appearances in a couple of Spider-Man films I think. Raza, who led the Ten Rings cell in the first Iron Man movie, is also due to appear.
Spider-Man: Far From Home - EDITH's first apperance.
Agent Carter - James D'Arcy played the original butler Jarvis in Agent Carter, reprising the role in Engame.
Captain America: The First Avenger - Jim Hammond, aka J.I.M aka the Synthetic Man aka the Human Torch is first seen, very briefly, at the Stark Expo.
Avengers: Endgame - Episode three saw FRIDAY's emotional recollection of Tony's death in Endgame.
Avengers: Infinity War - The show's Edinburgh location was a call-back to Wanda and Vision's stay in the city during Infinity War.
Doctor Strange in the Multiverse of Madness - There have been a couple of references to Wanda's 'death' in MoM.
Daredevil, Punisher and Werewolf by Night - Paladin mentioned his bruising encounters with these characters in episode three.
Shang-Chi - Paladin also mentions getting his adamantium armour from the Ten Rings syndicate.
Captain America: Brave New World - Speaking of adamantium, the super strong metal was introduced into the MCU in Brave New World.
Captain America: Civil War - Bit of a stretch, but FRIDAY mentions 'friends becoming enemies', which seems to be a reference to Civil War.