Initially, the Hoid/Wit stuff. Like the connections to the other Vessels, the letter from Harmony/Sazed. There were those cool little connections bewteen the stories that I saw the first time. Also, simply the fact that Hoid would show up in various books was always a 'sit up and cheer' kind of moment.
I didn't read Warbreaker prior to Stormlight Archive, so when I read WB I obviously recognized that Nightblood was the sword that Szeth had been carrying around. I didn't really recognize Vasher and Vivenna as being on Roshar until the second read through. Same thing with the three travellers at the Purelake. Didn't pick up on the fact that it was Galladon, Demoux, and Baon the first time through. But also now, having read through more than once, I know more about the Shards and Adonalsium, so I'm looking closer at clues and characters when I re-read sections again.