Sometimes, when you kill an eneny (at any chapter), you will hear Niko Bellic's death voice (the loud one).
Towards the end of the chapter "Anybody Can Buy Me A Drink", Max and Raul Passos storm a mafia-run chop shop. One of the vehicles within is a Cognoscenti stripped down to its frame.
In the same chapter, Max traverses a corridor inside an apartment building while being attacked from a nearby rooftop. If shot down from the roof, a mafia goon may emit the same scream of an "aliens" tramp from GTA IV.
The police cruisers found in Act 3 are modified Chavos.
The "vehicle.ide" file that contains data from all vehicles in Max Payne 3 contains a "deprecated vehicles" section that contains the names of cars from GTA IV, such as the Cavalcade, Benson and Willard. It also refers to the Cuban 800, a plane that was revealed in GTA V's second trailer.
In the Chapter " One Card Left to Play " a Makeup advert near The Underground Airport train Station has Pillbox Hill Skyline in the advert background.