The first scene Nikita appears in was the first scene Anne Parillaud shot. Despite having only one line Luc Besson had Parillaud deliver nearly a hundred takes. Parillaud later found out that he used the second take in the movie.
Luc Besson had Anne Parillaud train extensively with guns so that she would be completely at ease with them. Parillaud took to practicing loading and unloading a fake gun in her car which led to her being pulled over by the police and having their guns drawn on her in traffic one day as they thought her weapon was real.
Nikita shoots a Beretta Model 93R in the firing range scene. This is a selective-fire machine pistol variant of the Model 92. Examples of the 93R are now extremely rare and highly sought after, some allegedly selling for more than $100K.