At the police station, Kilgrave is wearing a purple suit and tie. This is a reference to his comic book alias, Purple Man.
The bridge Jessica climbs to the top of is the Manhattan Bridge, connecting downtown Manhattan and downtown Brooklyn.
During the scene where Jessica puts herself in lockup, there is a photo of Stan Lee hanging in the building.
In the scene where Jessica Jones gets out of the taxi, a background image shows a red building next to a bridge, it's the same background image shown in the beginning of The Amazing Spider-Man 2 (2014) where Spider-Man first defeated Aleksei Sytsevich.