In the second dream sequence, Max runs through the holding cells at his precinct, several of which contain Max muttering to himself. One of them says "I didn't used to look like this...", a reference to the fact that Max's appearance has been significantly altered from the first game.
In Max's apartment, a Poets of the Fall CD can be seen sitting on Max's coffee table. Poets of the Fall is the band that performs "Late Goodbye," the song which plays over the end credits. It's also the song the janitor sings before Max confronts him and which Mona sings in the shower.
In Part 1, Prologue: In the hospital, you will see a nursery with little kids pictures on the window in a row from right to left. The pictures depict Max's family's murder. The first picture is of a police car driving home (Max driving home). The second picture is of a happy family, Max, his wife, and their child. The third picture is of an evil green monster face probably symboling V (the drug which played a major part in the murder of the wife and child). The fourth picture is the wife and the child dead covered in blood. And the fifth picture is of Max crying.
The first thing Mona says to Max in the game ("We've gotta stop meeting like this") is one of the last things that she said to him in the previous game.
In Part 1, Chapter 7 ("Continued" on Playstation 2): After you make your way down the scaffolding, walk along the ledge of the building and go past the open window on your right. Jump around the metal scaffolding pipe and enter the window on your right to find the secret memorial to Miika Forsell (1983-2003).