'I, Meatbag' takes its title from Isaac Asimov's novel I, Robot, as did a previous episode, 'I, Roommate'.
'Raiders of the Lost Arcade' takes its title from the first Indiana Jones movie, Raiders of the Lost Ark.
The title of Leela's segment is likely a reference to the Broadway musical and 1978 movie The Wiz, which was also a reinterpretation of L. Frank Baum's novel The Wonderful Wizard of Oz. Her dream is also similar to the storyline of The Wonderful Wizard of Oz.
When Fry first appears in Leela's scenario as a scarecrow he tries to scare a crow by reading Stephen King's classic novel "Christine" about an evil car. Fry reads, "...and then 'HONK HONK'; the car honked his own horn".
Fry's scenario features a number of video game parodies and in-jokes:
The intro scene is a reference to Asteroids.
The attackers' home planet of Nintendu 64 is a parody of the Nintendo 64 game console.
Donkey Kong's exit from the treaty signing is a reference to the original game, Donkey Kong.
General Colin Pac-man is a reference to both Colin Powell and Pac-man, including his death animation.
The 'escape tunnels' sequence is a parody of Pac-man, including the sound effects and the various items Zoidberg ingests and subsequently coughs up.
The escape tunnel itself is Mario's green pipe used in practically every Mario game.
The 'Blue key required' message is likely a reference to Doom.
The Nintendians attack sequence is a parody of Space Invaders, including the ship design and movement, as is Fry's strategy of firing through his own shelter.
"All Your Base Are Belong to Us" is a much parodied phrase from the game Zero Wing.
The orange guy exiting the spaceship (likely a parody of Q*Bert) when the invaders land says "Where can a guy get some pants around here?" backwards.
The music playing whilst Fry fights the Nintendians is Tom Sawyer by Rush. On the audio commentary, the creators mention that one of the reasons this song was chosen was for the line 'And the space he invades he gets high on you', as the song plays during the Space Invaders-like battle.
Bender's tale of interest ends in the same way as in Anthology of Interest I. His death is even followed by a character uttering the same line, 'Goodnight, sweet prince'.
It's interesting to note that Leela's tale of interest is not, in fact, necessarily what would happen if she found her true home. Leela is knocked unconscious, and we as the audience see her dream, not what the What If? machine shows.
The clothes Bender first wears as a human have the same color coding (white shirt, blue pants) as Groening's other character Homer Simpson.