James McCaffrey, the voice of Max Payne in the video game franchise, makes a cameo as the FBI Agent that Lieutenant Jim Bravura introduces to the "real" police officer. He also shows up near the end of the film, asking if Bravura is alright, before calling in Division One over the radio.
Due to the PG-13 rating that the studio wanted, John Moore filmed two versions of the two biggest action sequences in the film, a) The Aesir Swat Building Shoot-out, and b) Max Payne's attack on the Aesir building starting from the parking garage scene. John Moore filmed a version with impact squibs (seen in the PG-13 cut) and one with bloody wound squibs. Moore also stated that the parking garage scene during the filming of using the blood wound squibs was "one of the bloodiest shootouts he has ever filmed".
Early in the film, Max beats up three thugs in the Roscoe Street subway station. This fictitious station is the setting of one of the first levels in the video game, where DEA Agent Alex Balder (upon whom the film's Detective Alex Balder is based) is murdered.
The club where Jack Lupino stores the Valkyr drug is called Rag Na Rock. In Scandinavian mythology, which is referenced a few times throughout the film, the word Ragnarök indicates the end of the world.
Max keeps most of the stuff from his old house in a shipping container at a place called Gognitti's Self-Storage. The place is named after Mafia Lieutenant Vinnie Gognitti, one of the video game's minor villains.
In the post-credits scene, as Max Payne walks into the bar, a marquee across the street reading "Forgotten Rebels" and "The 3Tards" is visible. Visual Effects Supervisor Jeff Campbell is the guitarist for the punk band Forgotten Rebels. "The 3Tards" is a shout-out to the fellow Ontario-born punk band (both have played shows together, including during post-production of "Max Payne").
The trivia item below may give away important plot points.
Jason Colvin's death scene was scaled back due to the PG-13 rating. Originally, there was a wide shot of him being shot in the chest with an enormous amount of blood spray from the wound, along with an impact squib underneath the bloody squib (to create a more brutal effect). In the PG-13 version of the scene, it is only a close shot of Jason Colvin (Chris O'Donnell) with a bit of the impact squib seen going off. The original scene is included on the Unrated Director's Cut DVD.