While listing his enemies, Lucifer mentions One Million Moms. One Million Moms is a fundamentalist Christian project dedicated to "stopping the exploitation of children" by the media. Members of the project oppose "Lucifer" and created a petition urging FOX to cancel the show.
Although Maze and Lucifer fight in a public area, in broad daylight, violently and with a certain amount of suspiciously supernatural-like destruction of property, they somehow manage not to attract any human notice.
The title of the episode is a play on the title of the Rolling Stones song "Sympathy for the Devil"
When Lucifer is pantomiming gunfire behind Chloe's back, a character (with glasses and a sheet of paper) behind *him* notices and looks on with a perplexed expression. In the next shot he's resumed studying paperwork as if all is normal, apparently having chalked up Lucifer's absurd behavior to Lucifer's usual Luciferness.
When Lucifer says to Amenadiel, "Is that the key around your neck, or are you just happy to see me," he's playing off a quote by Mae West, "Is that a gun in your pocket, or are you just happy to see me?" Wiki says, "Mary Jane "Mae" West (August 17, 1893 - November 22, 1980) was an American actress, singer, playwright, screenwriter, comedian, and sex symbol whose entertainment career spanned seven decades, known for her lighthearted bawdy double entendres and breezy sexual independence.