At the airport Bill Murray is asked for his passport. He said the pictures not a very good picture and opens his wallet. It is his picture of Carl Spackler from Caddyshack
One of the agents at the end has the last name of Venkman, just like Bill Murray's character in the Ghostbusters movies.
The movie that Consuela (Isabel Hernández) is watching in the kitchen is Copycat (1995), also directed by Jon Amiel.
This movie pays homage to two films directed by Alfred Hitchcock: The Man Who Knew Too Much (which is what the title is based on) and North by Northwest (the plot resembles the plot of that movie).