Regarding the end of Monty Python and the Holy Grail, according to page 248 of the 2003 edition of Thomas Dunne Books The Pythons autobiography by the Pythons:
Eric Idle- ...and only at the end do you realise there's no plot whatsoever. We didn't know how to end it. I contributed the ending because I said,
"You should just stop it. The police should ...
If we look at the script and the film's official novelisation (itself based on the script), we can see that Elsa clearly set him up to fail.
DONOVAN: I'm not a historian. I have no idea what it looks like. Which one is it?
ELSA: Let me choose.
DONOVAN: Thank you, Doctor.
Elsa and Indy exchange looks. He thinks he is seeing her in her true
Yes, it is a reference to Monty Python. GRRM likes to sneak in references to lots of little things.
TV Tropes has a list of some shoutouts
One of the funniest ones in my opinion is the NY Giants vs. Dallas Cowboys "incident". It even has several layers to the joke.
I remember seeing the movie, initial release, at a theater in Maryland. The movie ended with Arthur being taken off by the police which abruptly cut to an old super 8mm film of "See America in a RV" from the 50's for at least 25 minutes. It was so seamless no one in the theater could tell if it was part of the movie. People sat still for about 5 minutes ...
The quote is from Mystery of Mount Sinai on page 37. I typed the quote below, but if you search "grail" in the book preview you can read the whole page.
"Junior, the Grail legend is as old as time," Henry insisted, looking up. "The Grail was a cup, but it was also many other things - a blood line and a holy elixir."
"But Dad, we found the Grail."
The Python script book for Holy Grail has two scripts. The original draft actually has a much different ending. It's been transcribed here: http://www.angelfire.com/movies/closedcaptioned/grail.txt
This is not to contradict others who said the ending was what was in the original shooting script.