In Alan's Wake New York Apartment and various other locations throughout the game, examine bookshelves: One of the titles is "The Things I Want" which is a chapter title and monologue sequence from Max Payne 2.
Easter Egg: Microsoft Tag
In Episode 4 there is a modern art painting on the top floor of the lodge. It is actually a tag. Take your smartphone, aim it at the tag on your screen and use Microsoft Tag to read it.
Hint: Item Maximum
Just in case you are wondering about how much stuff you can carry:
Revolver rounds x42
Shotgun shells (both versions) x32
Rifle rounds x25
Flaregun ammo x12
Flares and Flashbangs x20 (each)
Hint: Camera Position
Your character, Alan Wake, sometimes lingers in the center of the screen despite you clicking on the movement stick (L3 or R3). To move him to the side of the playfield, press the viewing stick all the way left or right until Wake rotates completely once. This should push his body to one side and you can see what the hell is in front of you.
Unlockable: Nightmare Mode
Beat the game on any difficulty to unlock Nightmare Mode. This mode makes combat much more difficult and adds 16 Manuscript Pages to collect.
Easter Egg: Xbox 360
At the start of Chapter 4, when you are asked to go back to your room by the Doctor, search the room across the hall from your door. An Xbox 360 is hooked up here with a game (entitled 'Night Shapes'). You may find the box cover familiar.