According to a featurette on the Season 1 DVD set, "Finding Leo", Jude Law was supposed to appear in one of the episodes but pulled out at the last minute, leaving Gervais and Merchant scrambling to find a replacement. "Finding Leo" follows Gervais' unsuccessful attempts to contact Leonardo DiCaprio.
In the Kate Winslet episode, she states the reason she's doing a film about The Holocaust is because she'd been nominated for four Academy Awards and hadn't yet won, but doing a film of this nature would guarantee her an Oscar. Four years later, after five nominations in total, she finally won the Oscar for Leading Actress, for her Holocaust based drama 'The Reader'.
In the closing credits, the character of Darren Lamb is listed only as "Agent". Shaun Williamson's character is listed as "Barry" although he actually plays himself, which mirrors Darren's habit of always referring to him as "Barry from EastEnders (1985)", although Andy calls him "Shaun".