-Howard Stark helped created the tech to create Captain Ameirca and was directly involved in much operational planning and the missions, which would lead him down the road as one of the original founders of S.HI.E.L.D.
-Stark Industries responsible for most of the tech in the film, their 1940's logo are found at the expo and labs.
-Rogers attends a Stark Expo, the very same Expo seen in "Iron Man 2"
-Cap's Shield is made of Vibranium, a rare element, the very same element what Tony is able to reproduce with his fathers clues in the designs seen in "Iron Man 2".
-Howard Stark finds the lost Tesseract at the end, which leads him creating blue print designs about the cubes structure and overall power, which can be seen in a case of paperwork that Tony looks through in the middle of "Iron Man 2".
Connections to "Thor"
-Tesseract cube (or the Cosmic Cube) is a weapon left on earth by Odin during his battle with the Frost Giants in 965 AD in Norway as shown in the opening of "Thor".
-Yggdrasil wall art hides the Tesseract, the Tree of Life, the same concept design that Thor shares with Jane Foster.
-Asgardians were the "Gods" referenced throughout the film.
-When the Tesseract reveals its true powers to Red Skull (before consuming him) the heavens are shown much like in "Thor". It is then that Red Skull is transported into the bifrost, which is a portal to the other 9 Realms including Asgard.
Connections to "The Incredible Hulk"
-Red Skulls deformed appearance is explained by his body's rejection of the serum because he was not worthy, the serum drives him even madder. This is exactly what happens to Emil Blonsky which leads to his transformation into the Abomination, with the help of gamma rays.
-The Super Soldier Serum is administered in a very similar way as it is to Blonsky.
-Stan Lee cameoed as a military officer at a Medal of Valor presentation for Steve, that he decides not to attend in order to keep fighting.
-Arnim Zola is first introduced as a giant distorted face on a screen, foreshadowing his characters true idenity.
-Red Skull says at the beginning of the film, "And the Fuhrer is too busy digging for trinkets in the desert", to look for a much more powerful item like the Tesseract. This is a direct reference to "Indiana Jones & the Raiders of the Lost Ark" which "Captain America" director, Joe Johnston worked on as an Art Director, winning him his first Oscar.
-Red Skull's consumption at the hands of the Tesseract was very similar to how the Ark of the Covinenet killed the Nazis in "Raiders". Another "Raiders" death style used in the film is the plane propeller death, when Cap threw a HYDRA bad guy into a fighter planes propeller, much in the vein when Indy was fighting the bald Nazi from "Raiders".
Here's a couple I noticed were....
Over all I felt as though this movie was one giant Easter Egg and being so caught up in the fast pace of the film I could see how I could easily miss some things.