On their journey north, Bran and his companions pass Hadrian's Wall, the real-life inspiration for the Wall.
The episode title "Dark Wings, Dark Words" is an old saying which is used frequently in the books about messages delivered by ravens, suggesting that such messages are often bad news. In this case, it refers to the two ravens that bring Robb the bad news about Bran and Rickon gone missing after the sack of Winterfell, and the death of his grandfather Hoster Tully.
This is the first time since The Kingsroad (2011) that Richard Madden and Kit Harington are seen on screen together, although it's in a dream.
Robb, Catelyn and Arya never realize how close they are to each other. Arya has left Harrenhal for Riverrun just before Robb and Catelyn arrive there from the Riverlands; assuming that Arya avoids main roads and Robb and Catelyn don't, they may have just missed each other by miles. And when Robb and Catelyn also leave for Riverrun for Hoster Tully's burial some time later, they would have undoubtedly reunited with Arya there, had the Hound not recognized her, which caused the Brotherhood to keep instead of release her.
The boar mounted on Joffrey's wall, that he and Margaery shoot with a crossbow, is the same boar that mortally wounded his father Robert in You Win or You Die (2011). The scene does not appear in the books.