The scene in the Del Fuegos bar when Woody was squinting was almost entirely improvised. The cast had done the scene a couple of times and would ad-lib occasionally. One time John Travolta just started squinting in a Clint Eastwood impression. The other characters' reactions were real. They were expecting John to say his lines but kept going with it.
Maggie's Diner was built in Madrid, NM for the film, but the producers were asked to leave the building standing when filming was complete. It is now a gift shop that sells Wild Hog and Del Fuego souvenirs.