Most of the bloody gunshot wounds were done with squibs, with a handful of CGI one also added. In the commentary, Wayne Kramer mentions that Bruce Altman was terrified of the squibs because he's never been strapped to them before.
When Oleg says he listens to "Kvasha", this is a direct reference to not only the music type, but also Oleg Kvasha who first played for the NHL team Florida Panthers back in 1996. The first name "Oleg" also happens to be Cameron Bright's character's first-name: Oleg Yugorsky.
This is the second film starring Cameron Bright to feature a clip of John Wayne getting shot. In Running Scared, the clip is from The Cowboys (1972). In Thank You For Smoking (2005), the clip is from Sands of Iwo Jima (1949).
The character of Detective Rydell (played by Chazz Palminteri) is an inside joke by writer/director Wayne Kramer as a tip of the hat to the film THE COWBOYS. The character of Anzor in the film is obsessed with the John Wayne film THE COWBOYS, specifically the part where John Wayne is shot in the back by Bruce Dern, which later becomes Anzor's own fate. The director of THE COWBOYS was Mark Rydell - therefore, Detective RYDELL.
One of the main characters' name (Joey Gazelle) played by actor Paul Walker could be deprived of a character in the graphic novel 'stray bullets' where Joey (Gazelle) is a little kid in a criminal domestic environment.
The trivia items below may give away important plot points.
Edele's last name is "Hansel" (as shown on the prescription bottle that Oleg finds). This is likely a reference to the Germanic tale of Hansel and Gretel who are ensnared by a witch who lures children with candy into her house in order to eat them. When Teresa Gazelle enters the play room for the second time (after she almost leaves), she makes a cryptic comment "It's like some kind of a lore", which edifies the Hansel and Gretel idea. Lastly, Teresa makes a point of looking at the door mat. The scattered letters appear to spell "Willkommen", which is German for "Welcome".