There are a few parts where you see parts from the first game. I can only recall two straight from my mind though, one is where you are underwater for the first time and enter the ocean. The vista you see is the one you first saw when the sub approached Rapture, and the second one is somewhere where you look outside and see the parts of the crashed airplane.  There were other things too but I don't remember where and what exactly, just that I though "hey, that was neat..".
 
Now when I think about it, you get to see the airplane when you are walking that section outside too.

There's a little 'bonus' you get in Multiplayer for reaching the Max Rank of 40, which is a little cutscene which ties into the First Bioshock game (the Multiplayer takes place before Bioshock 1).
 
See it Here
 
Also, there are other tiny references to the previous game as you go around singleplayer, some are more obviously in sight than others ofcourse.

" There's a little 'bonus' you get in Multiplayer for reaching the Max Rank of 40, which is a little cutscene which ties into the First Bioshock game (the Multiplayer takes place before Bioshock 1).
 
See it Here  Also, there are other tiny references to the previous game as you go around singleplayer, some are more obviously in sight than others ofcourse. "

In the part where you first get Incinerate with all the pro Adam propagandising Ryan voiced animatronics you can see a scale model of the light house and the diving bell as part of the exhibition.

" @nukesniper: What is Project WYK? "