The title of this episode comes from the Jimi Hendrix song of the same name, said to be inspired by the potential loss of his then girlfriend. Mary, like Nancy, is also archaic slang for "homosexual."
When asked how Lucas could have disappeared, Archer said "Paging Dr. Cooper! Dr. D. B. Cooper!" D. B. Cooper is a man who famously mysteriously disappeared with a case full of money after parachuting from a hijacked plane.
Ray tracks Archer's cell phone to a house north of Bennington, Vermont, which he correctly assumes to be a "bed and breakfast." Vermont is famous for them, and they are often made from converted houses. Malory retorts "You should know," which, in addition to the plot, is a reference to a stereotype about homosexuals and these types of establishments.
While tracking Lana, Cyril, and Luc, Archer sees the tree Lana shot at, saying he "desperately hopes it isn't an Ent". He then wonders if he's gay for Tolkien. This is a reference to J.R.R. Tolkien's "Lord of the Rings" books, in which there are giant tree creatures known as Ents.
Cyril complains about Lana calling his briefs "panties," saying "They're called briefs." Her reply, "Yeah. You're a grown man." is a reference to a stereotype about this type of underwear, that young boys wear briefs and grown men wear boxers.
Lana constructs a trap by using her knife to weaken a smaller tree that is holding up a big tree and using her and Cyril's clothes as a makeshift rope to pull and break the weakened tree, saying "You know what they say. Big hands, big dick." This is in reference to a commonly held belief that the size of one's hands (or feet) is relative to penis size. It is also the first time Lana has made a joke about her own hands, and the second time the strength of said hands has been used as a plot element.
Archer wonders why Troy didn't get drugged after drinking the same wine and Troy tells him that it was in Archer's glass, not the wine itself. This is a reference to the second season of Justified, in which this method of delivering a poison is used twice. Lucas Troy is voiced by Timothy Olyphant, who plays the lead character in Justified.