The title, "Exit, Pursued by a Bear" comes from a stage direction in 'The Winter's Tale", Act III Scene III.
The lines that Sebastian is rehearsing on his way to the theatre, 'Tis torture and not mercy ....', are from "Romeo and Juliet", Act III Scene III.
Sally has the surname, Balthasar, which is also the name of Romeo's servant in "Romeo and Juliet".
According to Frank, someone calling themselves, 'Mr Baloo', left the Teddy and some cash for it to be delivered to Sally. 'Baloo' is the name of the bear in "The Jungle Book" by Rudyard Kipling.