The snakeskin jacket Sailor wears in the film was actually Nicolas Cage's own. Cage asked director David Lynch if he could wear the jacket in the film, as a tribute to Marlon Brando's role in The Fugitive Kind (1960). After filming was completed, Cage gave his jacket to Laura Dern. (On a side note, "The Fugitive Kind" was based on the play, "Orpheus Descending," by Laura Dern's cousin, Tennessee Williams. Laura Dern's parents, Diane Ladd and Bruce Dern, met while appearing in a 1961 stage production of "Orpheus Descending.")
Willem Dafoe is actually urinating in the toilet when he goes to visit Laura Dern and asks to "piss in your head". Apparently, Dafoe had drunk a lot of bottled water and really needed to go. Only later did he find out that the toilet was not a working one and some poor crew member had to clean it.
During filming, Laura Dern passed out when David Lynch asked her to smoke four cigarettes at once in one deep inhalation. When she came to, she saw a worried Lynch standing above her asking: "Tidbit! Are you alright?"
Sherilyn Fenn's accident scene came from David Lynch's impression of Fenn as a porcelain doll, and from the idea of seeing a porcelain doll breaking. He kept telling her about that, and that's how the scene was born. Lynch said of the scene, "I just pictured her being able to do this. She's like a broken china doll". Lynch got the same inspiration for the car accident scene in Mulholland Drive (2001). His direction to actress Laura Harring was to act like a broken porcelain doll.
Not counting Twin Peaks, this is the only one of David Lynch's films to have a sequel - 1997's Perdita Durango, directed by Álex De la Iglesia and starring Rosie Perez as the titular anti-heroine, originally played by Isabella Rossellini.