This one is obvious but right after choosing your race and making your character in the beginning Hadvar makes a comment about your race, like "Valenwood is a long way from here." or "Are you with one of those caravans?" or "You picked a bad time to return home." He also states how your ashes will be returned to your home, or if you are Nord, he says at least you will die at home, or something like that.
When being called to by Ralof after you get up off the block after Alduin attacks, he will call to you according to your race, like "Kinsman" or "Elf". Also, guards will call you your race, based on your race. "What do you want. Imperial?" or "What do you want, Elf?"
Jon Battle-Born asks you why you are in Whiterun if you are any race besides Nord.
Rolff Stone-Fist will call you an outsider if you are any race besides Nord. I walked in Windhelm as a Bosmer, Altmer, and a Khajiit and got the same response from him.
Those are all I can remember off the top of my head.