Ryan Phillipe accidentally punched Sarah Silverman in the opening scene; She got knocked out and when she woke up he was standing over her almost in tears. The make up department used fake blood and the huge lump on her chin was a continuity bonus. Phillipe apologized for a week.
Christopher McQuarrie's brother, a US Navy SEAL, was technical advisor for the gunfight scenes, hence the realism of the coordinated movements, use of cover, and room-clearing tactics used by Parker and Longbaugh.
Unlike many movies with action-packed gunfights, every round fired is accounted for and all characters reload when appropriate, with the exception of one sequence in the brothel courtyard where Parker and Longbaugh fire dozens of rounds in rapid succession without pausing to reload: an intentional sort of fun tribute to classic action movies.
The unusual car chase scenes after the kidnapping were Benicio Del Toro's idea. He suggested it to Christopher McQuarrie after watching the show Cops (1989) where a couple of criminals did the same when cops were chasing them.
The rifle used be Benicio Del Toro at the motel and in the brothel was an Isreali made Galil in 7.62mm. The handguns used by Parker and Longbaugh were Colt MK IV Series 70 Government Models in 9mm for ease of use with blanks. The handguns used by the bodyguards were H&K USP 9's. The Revolvers were Taurus Model 85 .38 Specials. The shotgun was a Remington 870 12 gauge.
In a scene where Parker jumps into a well to take cover, he lands in a number of glass bottle and cutting his arm. The bottles did have labels which were all approved to be used. When the sponsors saw what was done with the bottles, they asked to have their labels removed because they were not approved as weapons. The filmmakers complied.
The trivia items below may give away important plot points.
At the start of the brothel shootout, the Bag Man who was killed by first being shot in the foot from around the corner outside the birthing room was the result of repeated bungled attempts by the actor to hide out of sight of Parker and Longbaugh. After many rehearsals where some part of the actor's body could still be seen, the scene was finally changed to reflect this.
The opening scene where Parker punches the loudmouthed character played by Sarah Silverman is explained in the commentary as an idea Christopher McQuarrie had kicked around with his friends while heckling a large group of ultimate frisbee players at a dog park. They realized that if a group of people actually came at them, they would surely lose, but could "steal the victory" by giving the women bloody noses, making the womens' boyfriends to be the focus of their ire (reasoning that the women would blame the boyfriends for starting the fight in the first place) long after the fight was over.
The Mexican brothel scene when Longbaugh (Benicio Del Toro) slaps one whore on her behind as she is running out, was unscripted. Christopher McQuarrie privately suggested it to Del Toro who was very resistant to it. The extra playing the whore was not told about this. As Del Toro feared, she came back after the shot was filmed very angry and complained how she was slapped. Del Toro immediately turned to McQuarrie and said "he made me do it!!!". (From the director's commentary on the DVD)