Paul Reubens mentions on the commentary that during the scene in the movie where he is wheeled out of the bike shop on a gurney, Elizabeth Daily's face went completely white. After filming the scene, he asked her what was wrong... apparently she was having flashbacks of her boyfriend Jon-Erik Hexum being wheeled off of a movie set on a gurney. (He accidentally shot himself whilst filming Cover Up: Pilot).
The Drive-in sequence was filmed at the Studio Drive In, formerly located in Culver City CA. The Studio was built in the 1930s, and was the first Drive-in Theatre constructed in California. It served as a set for several films, including Grease. It was closed in 1993 and demolished in 1998. No trace of this Drive-in remains.
In real life Paul Reubens was very sick from the flu during the scene where he returns to the bike shop after his bike is stolen and Pee-Wee falls on the bikes. This is mentioned in the commentary.
Approximately 10 to 12 bicycles were built for the movie by the Pedal Pusher Bike Shop in Newport Beach CA; a shop that specialized in vintage and classic bicycles and parts. They were offered $10,000 and no screen credit or screen credit only. The shop chose the money. The bike shop had an autographed 8x10 glossy of Paul Reubens that said "To Mike at Pedal Pusher: 'Arrrrgggg!' From Pee Wee Herman."
When Pee-wee is hitchhiking to the Alamo, the Texas-shaped sign he holds up has a big star on it indicating his destination. But the star isn't where the actual Alamo is located (San Antonio). Instead the star is over Bracketville, the location of the Alamo facade used in many western and period movies.
Tim Burton and Paul Reubens brought on Danny Elfman as composer after Burton had attended concerts by Oingo Boingo, of which Elfman was lead singer and songwriter. Elfman was originally apprehensive, having no formal music training, but he was assisted by Boingo guitarist Steve Bartek as orchestrator. Elfman later said that hearing his music performed by an orchestra for the first time was one of the most thrilling experiences of his life.