The running gag of having the pre-credit sequence ending with a character referring to Ann as "that girl" was originally only supposed to be used in the pilot as it was believed that they would never be able to keep finding ways to work it into the conversation. It ended up being used in almost all the episodes.
The train in the opening sequence of the series was shot at Secaucus Junction, in Secaucus, NJ. It was filmed out of the back of the train as it headed northwest, then the film was reversed, making it appear to be heading towards Newark. That is why traffic on the New Jersey Turnpike (running parallel to the right, with Laurel Hill in the background) is moving backwards.
The final episode was originally going to have Ann and Donald getting married but Marlo Thomas (who was an executive producer of the show as well as the star) refused, claiming that it sent the message to young girls that a woman's main goal in life was to be married.
In the original unaired pilot episode Ted Bessell's character was named Donald Blue Sky, not Hollinger. He played Ann's agent instead of a magazine reporter. During the episode he explains that his last name is from his heritage of being part Cherokee Indian. Harold Gould played Ann's father and Penny Santon played Ann's mother.
The show actually used three separate opening themes during its run. Season 1 was a more subdued instrumental opening, also with a different video sequence. Seasons 2-4 was the now-familiar more upbeat, jazzy swinging instrumental style; finally, sung lyrics were added in the 5th (last) season's version, to give the opening a similar, deeper context, in the wake of the new, very successful Mary Tyler Moore Show's first season the previous year. The well-regarded Earle Hagen wrote all the music for the opening themes. Besides writing the themes to numerous other shows, Hagen is most notable for writing the tune to, and whistling the theme for, the Andy Griffith Show.
In the first season opening credits, Ann walks through Times Square and sees several Broadway marquees. "Philadelphia, Here I Come!" closed on 1 October 1966, while "Cabaret" opened on 20 December 1966 and Neil Simon's "The Star-Spangled Girl" opened on 21 December 1966. The three shows never ran at the same time.