Intercession is the act of intervening between two parties.
In the religious sense, it means to pray to God on behalf of another person.
Horse fairs are annual gatherings of gypsy and traveller families to buy horses, meet with relatives and celebrate their culture.
The largest horse fair in Europe is the Appleby horse fair in Cumbria. But there is also an annual horse fair in Stow-on-the-Wold in Gloucestershire, which is close to Oxford and therefore possibly the one Lyra is referring to.
"Oratory" is the name given in Lyra's world to an individual church.
Lyra is referring to the real St Barnabas Church in Jericho.
A zeppelin is an airship from the early 20th century, based on early designs by German Count Ferdinand von Zeppelin. They were the first form of commercial air travel, but after the outbreak of World War One were also used extensively by the military.
The Hindenburg disaster of 1937 hastened the demise of the zeppelin, but they remain synonymous in popular culture with villainy, and have ties in particular to the steampunk genre, which makes great use of Victorian aesthetics.
In the novel Mrs Coulter is described as having dark hair, but in the film adaptation, The Golden Compass, she was played as a blonde by Nicole Kidman, who was always Philip Pullman's first choice for the part.
Given that physical details are rarely forthcoming in the novel (it is a long time before we learn that Lyra is blonde) this is an attention to appearance that is quite fitting for the character of Mrs Coulter.
The Royal Arctic Institute in Lyra's London is a place that displays research and evidence from exploration to the Arctic regions, and is a source of endless fascination for Lyra. It is in fact fictional, although there are several organisations in our reality dedicated to Arctic research, such as the International Arctic Research Centre and the Arctic and Antarctic Research Centre. Neither of those are located in London; they are in Alaska and St. Petersburg respectively.