Although the story is set in various places around the world, nearly all of the film (including scenes set in Washington and Germany) were filmed in the area of director Andrew Davis' home town of Chicago, Illinois.
The "Christmas present" Walter Henke gets, the rifle (which is identical to Boyette's assassin weapon, of course), is indeed Austrian as Henke says, it's a Steyr AUG Bullpup 5.56mm universal rifle, manufactured by Steyr Mannlicher. It is the standard service rifle with several militaries including the Austrian Army, Australian Army, and the Irish Defence Forces.
When Boyette/Henke (while dressed as a priest), enters an elevated train stop. As he emerges from the stairs to the platform above, the public address system begins. Listen closely. The voice on the P.A. is Tommy Lee Jones.
Gene Hackman, Tommy Lee Jones, Reni Santoni, and John Heard have each worked with Clint Eastwood. Santoni appeared in Dirty Harry (1971), Hackman worked with Eastwood twice on Unforgiven (1992), and Absolute Power (1997), Jones appeared in Space Cowboys (2000), and John Heard cameoed in In the Line of Fire (1993).
When Gallagher goes to see his ex-wife at her office near the beginning of the film, while she is being told by her secretary who wants to talk to her, Gallagher opens the blinds on her door from the outside. While this may be visually effective it is incorrect. Anyone who has an office would have the blinds on the inside so that they have complete control of who sees in or out and not under the control of anyone outside.
The trivia item below may give away important plot points.
Gene Hackman was later considered to play Samuel Gerard in The Fugitive (1993), which would have reunited him with Harrison Ford or Kevin Costner, but he turned it down, and it went to his co-star Tommy Lee Jones.