In the scene where Chris (Vin Diesel) and Seth (Giovanni Ribisi) are waiting outside Greg's (Nicky Katt's) house, we never see the car move or get started. 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 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, in which J.T. Marlin is located, is actually in Westbury and Garden City, New York, and is the same building, on which one of the two companies in the movie is based, Continental Broker Dealer Corp. It was not located at exit 53 off the L.I.E., 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 (Giovanni Ribisi's) main victim, Harry (Taylor Nichols) goes to the Boiler Room armed with guns, and ostensibly seeking bloody revenge, was scrapped in favor of the F.B.I. bust ending. This alternate ending is found on the DVD.