During the scene in which Bender learns of his ability to take control over electronic appliances he takes control of an electric razor and threatens Fry with it. Fry responds to the threat by covering his armpits exclaiming "No, Winter is coming!", a reference to a term made popular by the HBO series "Game of Thrones" based on the A Song of Ice and Fire novel series by George R. R. Martin.
Fry decides that it's time to "bust the ghost" that's haunting him (Bender). He dials a number on a phone whilst commenting "All I know is that I've got a ghost that needs busting." to which Hermes responds "Who you gonna call?". An obvious reference to the Ghostbusters franchise.
After the séance to find out what ghost is haunting Fry, Hermes suggests that they should call in Reverend Preacherbot to exorcise Bender's ghost. The ritual the Reverend performs and the music that plays is a reference to The Exorcist where Father Merrin comes to exorcise Regan MacNeil.
The phrase "Ghost in the Machine" goes back to Oxford Philosophy Professor Gilbert Ryle's criticism of classical Descartesisian mind/body dualism from the book "The Concept of Mind" (1949) Since then it has been used as an episode title for TV shows from "Bones" to "The X-files" as well as the second best selling album by the rock band The Police. (Futurama of course puts its own spin on the title.)