"The mind of the subject will desperately try to create memories where none exist." (except when Comstock is in Booker's world during the ending, and Robert Lutece's reaction seems delayed during that scene also...)
"To thine own land shall I lead thee"
That early voxophone where Comstock wonders what happens to the "man left behind in the baptismal pool"
Will the circle be unbroken?
Comstock's strange dual-layered voice
Prevalent talk of killing things at the source rather than killing the weed
1. Not even a full minute into the game, Booker gets a nosebleed. A good while later you find out what types of people generally get nosebleeds in the game, which makes it evident that he's not originally from the universe with Columbia and Comstock in it.
2. In the Hall of Heroes, Slade makes it very clear that Comstock was never at Wounded Knee. Both Slade and Booker also make it very clear that Booker was at Wounded Knee. When you couple this fact with Booker's nosebleeds and the fact that Slade refers to both Booker and Comstock by the same nickname (Tin Soldier), it can lead you to believe that they might be two different versions of the same person. I get that it's most likely coincidental in this case, but it did result in me guessing that Booker and Comstock may be the same person pretty early on, which really spoiled the ending for me.
3. Booker calling out to "Anna" in his dream sequences makes it evident that he's lost someone named Anna. A little while either before or after that (can't remember which), one of Comstock's cronies refers to Elizabeth as "Annabelle", which leads you to believe she may be his Anna. (Some people try to argue about this every now and then, but realistically, there are literally thousands of other names that that woman could have called Elizabeth. I personally find it hard to believe that the whole Annabelle issue was just coincidental and/or not foreshadowing).
In the beginning of the game when heading towards the raffle, you'll encounter a statue of Rosalind Lutece. If you pay close attention, at first it will be a statue of her twin Robert, but quickly changes back into Rosalind.