The film that Maria and Diego stand watching at the cinema is King Vidor's Duel in the Sun (1946), an equal lurid tale of wayward passion.
One of the films that Diego Montes is masturbating to in the Opening Sequence is Mario Bava's Blood and Black Lace (1964).
First film in Pedro Almodóvar's career that tackles the world of bullfighting (the second being Talk to Her (2002), although to a lesser degree).