So here's some interesting things I noticed.
Lee begins the game in handcuff, and ends the game in handcuffs.
The first zombie of the game was a cop, so was the last zombie.
The first time Lee sees Clementine, a zombie is grabbing at his legs and Clementine rescues him by bringing him a hammer. The last time Lee sees Clementine, a zombie is grabbing at her legs and he rescues her by giving her a bat. Also, in both cases it took multiple blows to put the zombie down.
Last, and I think most interestingly. In episode 1 after the car crash, Lee picks up a shotgun shell that is on the ground, shortly after that he sees a silhouette of Clementine in the distance (I don't think it's ever verified in-game that it's her, but if you go back and look at it again, it's gotta be her). At the end of the game, Clementine picks up a shotgun shell and sees two silhouettes in the distance.
If I missed any, let me know.