Leelee Sobieski's character, Jennifer, has a number of facial piercings, and cartilage piercings in both ears, but does not have her earlobes pierced - to which a reference is made in the movie. At the time the movie was made, Leelee herself did not have pierced earlobes, as she did not have them done until 2006. Specially for her part in this movie, she did, however, have both nostrils, both eyebrows and her lip pierced, along with the cartilage of both ears. After filming was completed, she removed the piercings and allowed them to close up again, but kept the jewelry as a souvenir of the movie.
J has 4 copies of Anne Rice's "Interview With the Vampire" books on her table as well as The Sleeping Beauty Trilogy (erotic BDSM novels) by Anne Rice published under the pseudonym of A. N. Roquelaure. 'LeLe Sobieski', who plays J in My First Mister, purportedly auditioned for the role of Claudia in the film version of Anne Rice's Interview With the Vampire but lost to Kirsten Dunst.
Michael McKean and 'Christine Lahti' worked together before. They were in rehearsals for a partly-improvised comedy film titled "Kiss the Bride." The project never came to the silver screen. It would have been directed by Bob Balaban.
The trivia item below may give away important plot points.
The memory box J puts together for R at the end of the movie after he passes away has in it the blue nail polish she used on his feet, her binoculars that she always looks through backwards, a jar of Sanka (decaffeinated coffee), the different colored round stickers she used to organize his stock room, and the hand of a mannequin she dressed as part of her job at his store.