The mysterious floating lights that hover around Dellamorte and She as they are kissing upon the grave are suppose to be ignis fatuus (which means fool's fire). It's a naturally occurring fire-like light sometimes seen during twilight in swampy areas.
The ossuary (a crypt for bones) that was used in the film was quite real. Supposedly one of the crew members removed some of the bones from the ossuary during filming, but quickly replaced them the next day claiming to have encountered an angry ghost following the removal of the bones.
Tiziano Sclavi's comic character Dylan Dog features were based on Rupert Everett's; in this movie, Rupert Everett wears typical Dylan Dog style jacket and shirt (even if shirt is in a different color).