The Thalarion stone's probably from HP Lovecrafts "Dreamlands" - Thalarion is a city inhabited by strange beings that used to be humans.
Sonnia's upgrade Cherufe's Imprint is a reference to the creature from Mapuche mythology - and evil humanoid made of lava.
Samael Hopkins is an obvious reference to Samuel Hopkins the witchfinder general
The executione is visually reminiscent of Edward Scissorhands
The wendigo is a flesh eating monster that was once a human who turned to canabalism because of the cold.
The Corryphee is a rank in a traditional ballet troupe
The neverborn have 3 masters representing the triple goddess maiden (pandora), mother (Lilith) and crone (Zaroida)
The Waldgeist is a german forest spirit
Hammelin - the pied piper
Jack Daw - jackdaw, the bird
Leveticus - the book of Leveticus in the bible
And the Hollow Waifs To the earth return (Ecclesiastes 12:7)
Ashes and Dust (ashes to ashes, dust to dust)
Lazarus - the guy Jesus resurrected in the bible
Hans - pretty sure this guy is Vash from Trigun
Hans' "Smile you son of a..." - famous line from Jaws
Ama No Zako - Amanazako an evil Japanese god
Lady Ligeia - Edgar Allen Poe's short story of the same name
Shang - named after the Chinese dynasty
Kamaitachi - Kami from Japanese mythology
Shenglong - Streetfighter
Komainu - protectors of Japanese shrine