What an excellent answer from amysorto! While "The Most Dangerous Game" by Richard Connell is a story centered around hunting (hardly a subject likely to contain many references to anything outside of the text), one of the characters is certainly likely to give us some allusions.
General Zaroff is one of the most civilized characters in literature--until we discover his penchant for killing humans, that is. As suggested above, he reads the works of Marcus Aurelius, suggesting that he is a man of great learning and philosophy. He also "[hums] a snatch of song from the Folies Bergere," adding to his image of polished civility.
On the other hand, we have, as mentioned above, a dog named Lazarus who is used to hunt people down so Zaroff can kill them. He replenishes his stock of humans to hunt by tricking ships into the rocky inlet of the island (thus the name Ship Trap Island). He tells Rainsford "[s]ometimes an angry god of the high seas sends them to me." This is a reference, of course, to Poseidon, god of the sea, a classical reference which implies some sense of civility.
Every allusion in the story is connected to General Zaroff, making him a complex character despite his barbaric tendencies.