The woman visible in the background of Dhalsim's Alpha 2 and Alpha 3 stages is Sally, his wife. She claps for her husband's attacks but shakes her head when he is hurt. If Dhalsim loses a round she kneels down and cries, if he wins she jumps for joy! (If neither player is Dhalsim she doesn't appear). Sally is seen cradling their newborn son Dhatta in his Alpha 2 ending and carrying a plate of food in his Super Turbo ending. According to All About Street Fighter, Sally's three sizes are B82, W57, H86, she's 156 cm tall and weighs 40 kg. The elephant often seen with Dhalsim is Kodal.
Ryu and Ken were originally described (internationally) as practitioners of Shotokan karate, founded in 1939 by Gichin Funakoshi. This description led to the term 'Shotoclone' being coined by players to describe those fighters that either rip-off or evoke the spirit of Ryu and Ken. To date, Shotoclones in Street Fighter include: Akuma, Dan, Sean, Sakura, Gouken. These days the style of Ryu and Ken (specifically, plus Akuma and Gouken, their elders) is more likely to be described as 'martial arts rooted in ansatsuken' to avoid reducing their skills to one form of martial art.
Ansatsuken is simply an all-embracing Japanese neo-logism that refers to any martial art developed with the purpose of killing an opponent. This fatal purpose is restrained in Ryu and Ken but manifests itself as 'evil intent' or satsui no hadou in the former. This is the murderous force that Ryu struggles against, the power that briefly overcame him when he defeated Sagat in the first tournament and the force that gives Akuma his relentlessly demonic nature. Versions of Ryu who has succumbed to satsui no hadou are playable in Alpha 2, Zero 3 Upper, Alpha 3 MAX and Super IV and are commonly referred to (somewhat inaccurately) as Evil Ryu. The character was, in fact, created by Masahiko Nakahira in his Ryu Final manga, first serialised in the Japanese magazine Gamaga and shortly adopted by Capcom as a character in-game.
Zangief is visible in the background of the Moscow stage in Ring of Destruction: Slam Masters 2. If allowed to speculate, it could be that he's there to support his countryman Biff Slamkovich or it could be acknowledgement of a rivalry with Haggar. Many fans believe in a Zangief/Haggar rivalry due to them each acquiring one of the other's moves, the implication being that they are copying from one another: Zangief originated the spinning piledriver and Haggar the spinning lariat. Whatever the explanation it's clear that the world of wrestling in Street Fighter is very close knit!
Speculation over links between Bison's Shadaloo organisation and Nazism stems from a couple of sources. Of most interest is an official piece of art from the World Warrior era. In it, Bison is seen recuperating on a sofa with a courtesan while a scientist works in the background. Behind the couple is a framed picture which is unmistakably a portrait of Hitler taken by Heinrich Hoffman (with the addition of a grain filter). Considering Bison's diabolical dictatorship it makes sense that he would have an affinity with Nazism but this depiction is unusual for being so overt. Coupled with shared symbolism, such as the winged skull motif, the dolls' salute and the lighting bolt symbol on Bison's belt (which recalls the SS badge) the aesthetics of Nazi uniform is undeniably present in Shadaloo and Bison in particular.
Please note: the attached image is for illustration only and is not in any way intended to promote or glorify Nazism.
It is Perhaps safest to categorise the Shadaloo/Nazi connection as conceptual rather than actual but it is interesting to note that a newspaper article visible in Street Fighter II: The Animated Movie asserts that Shadaloo's secret research programmes (ostensibly weapons but presumably genetics too) are built on the legacy of Nazi research. (It should also be said that the following article in the paper goes on to link the Shadaloo paramilitary with devil worship....) The content of the film can be dismissed as non-canonical but it is interesting that the link was re-established in a licensed product. The paper is too blurred to read on the DVD but a legible version of the image can be found in The Magnificent World of Chun-Li, a Japanese artbook containing many illustrations from the film. Many thanks to Sano for providing the image here.
The little boy visible indoors in Sakura's Alpha 2 stage is Sakura's little brother, Tsukushi Kasugano. According to Sakura's profile she does not like playing video games with him (she is more interested in physical activity). A fun detail of the stage shows that when Sakura wins a round he wins in his game, however, when she loses he gets angry, throws the controller and sulks! In addition to Natsu and Hinata, Sakura's other close friend is Kei Chitose, a school friend seen in her Alpha 2 ending, the Sakura Ganbaru! manga, her Udon comics mini-series and the Street Fighter Alpha movie. The Sakura Ganbaru! manga (1996) reveals that the game Tsukushi is playing is Capcom's own Final Fight (where his Cody is losing to Sodom). Later in the manga he is seen playing versus in Street Fighter II with none other than Ken himself!