When Dr. Evil meets Frau Farbissina again, he says "Wie geht es Ihnen?" and she responds with "Sehr gut Herr Doktor." This translates to "How's it going?" and "Very good Mr. Doctor." In German, it is normal to refer to someone as Mr. Doctor, unlike in English where one would say Dr. Evil for example. In the German dubbed version, this is dubbed into Swedish.
A true piece of nerd trivia - Dr. Evil's trademark gesture is an extended pinky finger held to the corner of his mouth. The name of the muscle which extends the pinky finger is the Extensor Digiti MINIMI.
When Austin and Felicity are driving through the English countryside, Austin remarks on how the English countryside looks nothing like southern California. The entire movie was, of course, filmed in southern California. This scene was a spur of the moment thing, not planned dialogue. This is evidenced by Felicity saying "What?" when Austin asks her the question.
In the Seattle headquarters, there is a picture of a shark with a frickin' laser beam on its head. Look for it at the shot of Number 2 by the condiments table with the Starbucks employee to the left side of the screen.
Although the word "shag" is less offensive in the U.S. than most other countries, not all translated the title into something less raunchy. The Norwegian title of the movie is "Spionen som spermet meg", which is a slightly dirtier way of saying "The spy who ejaculated on me".
When Scott Evil suggests that Dr. Evil try to kill Austin "while he's sitting on the crapper," Dr. Evil rebuffs the idea, probably because in Austin Powers: International Man of Mystery (1997), one of Dr. Evil's assassins did try to kill Austin while he was going to the bathroom, and failed.
In the original script, the title reads "Austin Powers 2: The Wrath of Khan" (Star Trek II: The Wrath of Khan (1982)). The narrator then talks about this title and eventually says that due to a lawsuit, the movie will be renamed to "Austinpussy" (Octopussy (1983)). The narrator then says that the title needs to be changed again in order to obtain a PG-13. The title "The Spy Who Shagged Me" is then displayed.
Dr. Evil calls one of his creations The Alan Parsons Project, spoofing the name of a band that enjoyed popularity during the late 1970s and early 1980s. In 1999, Alan Parsons released his album "The Time Machine", and a remix of the title track includes snippets of Dr. Evil's dialogue from the movie.
Austin comments that nothing happens in the 1970s and 1980s, except for a "gas shortage and a flock of seagulls." He is probably referring to the 1973-1975 oil crisis - where the OPEC (Organization of Arab Petroleum Exporting Countries) refused to ship oil to any country (including the USA) that supported Israel in the Yom Kippur War - and the band A Flock of Seagulls, who released their smash hit 'I Ran (So Far Away)' in 1982.
Right at the end of the opening credits musical number, small dolphins can be seen diving into the water from both sides. Look again, and it is obvious these are just basic props being rotated by the girls on either side.
Both Rob Lowe (Young Number Two) and Michael McDonald (NATO Soldier) appeared uncredited in Austin Powers: International Man of Mystery (1997) as different characters from this movie. Lowe appeared in an additional scene about friends learning of a henchman's death. A similar scene showed McDonald's family being informed of his death.
The trivia items below may give away important plot points.
When Dr. Evil throws the 'Mojo' in the air and both Austin Powers run towards it, all voices are done in slow-motion and the voice of Felicity is spoken by Will Ferrell, shouting Watch Out before both Austin's bump into each other.