In GTA: Vice City, there are a few easter eggs...
There is a motel in the earliest section in which you can acquire a chainsaw. The chainsaw is located in a blood-spattered bathroom, eerily reminiscent of a scene in Scarface (homage to that movie is also paid in the climactic fight with Sonny Forelli and his goons).
In the Downtown area, there is a certain room that can only be reached with a tricky jump from the corner of another building. If you make it in, there is a giant Easter egg in the middle of the room.
Also, in Vice City, at one point you purchase a boatyard from a couple of stoners. In GTA: San Andreas, when you need some assistance around your new garage in San Fierro, you're steered toward a couple of stoners, geniuses with anything that has an internal-combustion engine, who "used to have this place in Vice City until the Mob ran 'em out."
Also in San Andreas, if you steal or cheat up a jetpack, and fly to the top of the tallest tower on the San Fierro Bridge, you will find that the tower is spray-painted with the words, "There is nothing secret up here."
In GTA III, one of the callers to the Chatterbox talk-radio show speaks of injuries received during the Australian-American War; Lazlow, the host, doesn't believe such a war ever happened. In San Andreas, when you enter an Ammu-Nation store, one of the announcements broadcast over the speakers regards a sale on rocket launchers, "just like the ones we used in the war with Australia!"
Lazlow is the only radio host to appear in GTA III (Chatterbox), GTA: Vice City (V-Rock), and GTA: San Andreas (er - the NPR-type station, can't recall the name of it now). He is also, in real life, the chief writer of radio dialogue for all three games.
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Sodium is a metal that reacts explosively when exposed to water. Chlorine is a gas that'll kill you dead in moments. Together they make my fries taste good.