When Kevin Kline's character pops the cork off a bottle of champagne, the cork shoots off-camera and hits director Robert Altman in the forehead. A small cry of "OW!" can be heard and Kline says, "Sorry!" without breaking character.
Maya Rudolph, who plays the pregnant character Molly, was actually pregnant during the filming of the movie. The father of Rudolph's unborn child is Paul Thomas Anderson, who served as a standby director for Robert Altman during production of the film.
Reportedly Robert Altman didn't care for the character played by Virginia Madsen and had reduced the role considerably. When Madsen came on board, she persuaded him to make it a more central character.
Garrison Keillor's first few drafts of the screenplay were - by his own admission - rather patchy. Altman's only notes on them were "you're getting closer". By the time filming began, Keillor was rewriting scenes constantly.
Instead of pre-recording their parts in studio sessions, cast members performed live in the theater, singing and playing their own instruments in front of a real audience of whom Robert Altman asked to choose their favorite takes.
Garrison Keillor got the name Lola for Lindsay Lohan's character from the song "Whatever Lola Wants, Lola Gets" from the musical "Damn Yankees" after Lohan successfully lobbied for a place in the film, even though there was no part written for her in the original script. Her character's name was also Lola in Confessions of a Teenage Drama Queen (2004).
Because the Fitzgerald was such a small building, other stage theaters in the Minneapolis-St Paul region were drafted in as stand-ins. The bulk of filming took place at the Fitzgerald however with the crew using the basement, and constructing fake dressing rooms.
When the cast reunites in Mickey's Diner at the end of the movie, Garrison Keillor, wearing a University of Minnesota shirt, comments on his new job at a parking ramp. In real life, that was how Keillor worked his way through the University of Minnesota in the early 1960s..
To broaden the film's appeal, Garrison Keillor considered retitling the film "Savage Love". Bob Berney, President of Picturehouse, was adamant that the film should retain its original title of "A Prairie Home Companion".
The trivia item below may give away important plot points.
During the movie, after the character of Chuck Akers dies mid-broadcast, the Keillor character refuses to stage an on-air tribute to him or even to announce the death on the air on general principle. The real Keillor does not share any such compunction against paying tribute to departed friends and colleagues on his actual radio show, as he spent a portion of the November 25, 2006, broadcast of "A Prairie Home Companion" memorializing director Robert Altman.