The characters decorating the arcade cabinet seem to have a resemblance to Konami's pop'n music series of music games.
Kyoko is dancing to a remix of the show's opening theme, "Connect" by ClariS.
Ironically, a licensed cover of Connect would later appear in both of the titles mentioned above. Article on RemyWiki.
The arcade cabinet features a logo that says "inudaruma" on its sides.
The opening sequence in episode 6 changed once again. This time, the transformation sequence is more colorful than before, and the angle changed slightly.
Rabbit heads are seen twice during this episode, first on Sayaka's bedding and latter on the screen of the game Kyoko was playing in the arcade. When Kyoko finishes playing the game, the smiling rabbit heads on the screen change to a "dying" expression" and a halo and pair of wings float upwards from them.
During the arcade scene, Homura mentions something by the name of "Walpurgisnacht" (ワルプルギスの夜 Warupurugisu no Yoru, Night of Walpurgis). At this point in the story, little is known about "Walpurgisnacht" (is it an event? A witch? Something else?). You can find more information about the real-life event here, and the anime "thing" here (caution: mega-spoiler ahead).
The grief seed that Sayaka used and Kyubey consumed was Elly's.
Junko's speech with Madoka is interpreted as moral relativism. Just because you think you are doing the right thing doesn’t mean that you will make others or yourself happy. However, “the desire to lead the world in the right direction is not wrong in itself,” as illustrated by the ending.