Two things:

At the end with Dalinar speaking the Words to the Stormfather, he has to give up his shardblade as a condition for 'binding' the Stormfather and he says that he heard the screams as soon as he summoned it. What seems off to me is that the blade in question is specifically acknowledged as that which belonged to "the madman" - who we know is actually the Herald of War. If it really is the Herald's sword, it is an honorblade and thus should not cause Dalinar to hear the screams of dead spren and the Stormfather should not have objected to Dalinar carrying it for that reason. Is this a continuity error, or is there some other explanation?

Nalan, Herald of Justice, and his sword that he gives to Szeth, with the inky smoke which greets Szeth with "Would you like to smite some evil?" is an obvious reference to the sentient sword Nightblood from Warbreaker - if not an outright duplication of magical artifice (since I considering implausible that this is the same sword). We know that Hoid is able to travel across worlds somehow so there should be no reason why others couldn't find the means to do so as well - but that just raises the question about who the Heralds are [now] and what the nine who did not die in the last Desolation have all been up to for the last 4,500 years.

I suppose some of these questions may be answered in Stormlight 3 which is supposedly his next major project (as of his Blog in July 2013), but others may not come until late in Stormlight if at all.