For all installments of the series, Japanese watch maker Seiko (http://en.wikipedia.org/wiki/Seiko) has been credited as the official time keeper of the games' races. However in the credits section of the game manual in GT2, GT3 and GT4 it is stated that "The timing data used in the game is generated by Sony Computer Entertainment using its own method and not by Seiko Corporation".
"Gran Turismo" was referenced in the The Streets (http://en.wikipedia.org/wiki/The_Streets) song "The Irony Of It All" taken from the album "Original Pirate Material"
In Gran Turismo 4, the Nike (http://en.wikipedia.org/wiki/Nike%2C_Inc.) One 2022 has Morse code (http://en.wikipedia.org/wiki/Morse_code) on the right hand side of the car. When reversed, this reads www.phil-frank.com, the artist commissioned to design this car for GT4. There is also Morse code clearly visible on the inside of all 4 tires which is undeciphered at the time of this writing.
Gran Turismo 4 - As with previous games in the series, the Japanese intro music 'Moon over the Castle' has been replaced by 'Panama' by Van Halen ('Reason is Treason' by Kasabian for PAL). The opera singing opening remains intact, but contrasts sharply with Panama (Kasabians track for PAL). The original 'Moon over the castle' theme can be heard in full from the music player screen along with a techno remix.
Gran Turismo 1 - The starting grid lights never change at the beginning of a race.
Gran Turismo 1-3 - It doesn't matter what car you drive, the reverse lights never work.
Gran Turismo 3: A-Spec - In Arcade Mode, when selecting a difficulty, holding down L1 & R1 changes "Hard" to "Professional". Choosing this difficulty results in a 10-lap race with tire wear enabled, against some of the toughest opponents in the game, especially when using an S-Class car. Bear in mind, though, that a win on Professional difficulty is not recorded in Bonus Items.
Gran Turismo 3/4 - Following the first tunnel on Trial Mountain is a tree branch overhanging the road, if you look close enough, you can see a monkey sitting.
Gran Turismo 2 & 4 - While driving the Seattle circuit, which appeared also in GT3, the Kingdome (http://en.wikipedia.org/wiki/Kingdome) (previous home of the Seattle Mariners (http://en.wikipedia.org/wiki/Seattle_Mariners)) is visible next to their current stadium, Safeco Field (http://en.wikipedia.org/wiki/Safeco_Field). Kingdome was demolished in an implosion on 26th March 2000. According to the official strategy guide, it was added due to nostalgia.
Gran Turismo 4 - If you drive Apricot Hill in reverse, at the second turn just before you head downhill, grayish smoke is visible over the mountain.
Gran Turismo 4 - The Loch Ness Monster and fishermen are visible over the fence, on Trial Mountain on the final corner before the final chicane.
Gran Turismo 4 - After the tunnel and subsequent long straight on Trial Mountain, as you approach the banked left-hand turn, if you look over the wall into the valley, an impossibly tall tree is standing.
Gran Turismo 4 - Just before the start/finish line on Rally d'Umbria, written on the tarmac is an inscription in poor Italian: "Dio lo benedice - fate il suo guidare il più sicuro e divertirsi" which translated means: "God blesses him; make his driving the most safely and to have fun".
Gran Turismo 4 - On the course known as the High Speed Ring, if you ignore the main pit entrance, continue around the corner and plough through the cones you can drive up the pit lane as fast as you like. Also note there are only two pit crew instead of the usual 5.
Gran Turismo 4 - On Infineon Raceway (Sports car course), watch the replay. When it gets to the back straight, you might see a sign with NRA on it.
Gran Turismo 4 - On the Nürburgring track, drivers are able to penetrate the pit wall. The easiest way this is accomplished is by getting a very large car, such as one of the American muscle cars, and enter the pits from the exit. Then steer up against the right wall, and continue forward until the car's rear glitches into the wall. As far as anyone knows, it has not occurred that someone has penetrated into the wall of the other side, going into the area of the F1 course and the oblivion of the background that follows.
Gran Turismo 4 - A "Breakout" can be performed on the Cote D'Azur track. This occurs when a car is coming out from the tunnel straightaway, and rams the right side of the tire barrier, directly in between the wall and the tire barrier. There is about a 1/10 chance of this happening due to timing, angle and speed (which must be over 125mph). Through this, it is possible to drive behind the track, into the scenery, and into a vast open space of nothing.
feel free to add you own

Very cool.

I have one, although its not really that cool, lol.

If you go to the test course, and line your car up at about a 40* angle on the pit barier, and you hit the gas, the car will sit there untill it reaches about 50mph, then it suddenly jumps forward going that speed. Kinda fun to do w/ fast/powerful cars.

how bout the biggest one, the inability to actually complete 100% of the game

yeah i noticed that one in gt3. havent gotten that far in gt4 yet because i usually start over when i get pretty far. its more fun to race when you dont have a zillion dollars and a few hundred zillion hp cars. other than that, ive noticed about half the things mentioned so far just by playing.

Why can you not 100% the game, I did GT3!! Still Knowhere near GT4 though!!

it's not a glitch in gt4, u can hit 100%. whereas with the other games u can complete the game, but it doesnt show 100%, just 99.8 or something. same actually with forza