In the scene where Chris (Vin Diesel) and Seth (Giovanni Ribisi) are waiting outside Greg's (Nicky Katt) house, we never see the car move or get turned on. Before they shot the scene Ben Affleck was sitting in the car, listening to music. He accidentally took the car keys home with him. They absolutely had to shoot the scene that night and couldn't find Ben. They shot the scene with the car where it is and lit up the house so there wouldn't be a reflection of the camera and crew.
The building JT Marlin is located in is actually in Westbury / Garden City NY and is the same building that one of the two companies the movie is based on, Continental Broker Dealer Corp, was housed in before it was shut down. It was not located at exit 53 off the LIE, which is where the other company was located.
The trivia items below may give away important plot points.
A different ending, in which Seth's main victim, Harry goes to the Boiler Room armed with guns and ostensibly seeking bloody revenge, was scrapped in favor of the FBI bust ending. This alternate ending is found on the DVD.