Shot on location, except for the bus scenes. According to Sean Penn they abandoned the idea of shooting at the real bus out of respect for Christopher and the McCandless family. Instead, they built a set in the wilderness, with an exact replica of the real bus.
Sean Penn needed wolves during production, and even rented some from an agency. Penn played "kissy face" with several of the wolves before, during, and after production. He spent hours feeding, playing with, and petting them. Several of the wolves are still alive, and on display at Wolf Country USA in Palmer, AK.
The trivia item below may give away important plot points.
The note that Christopher Johnson McCandless tacked to the bus actually said, "S.O.S. I need your help. I am injured, near death, and too weak to hike out of here. I am all alone, this is no joke. In the name of God, please remain to save me. I am out collecting berries close by and shall return this evening. Thank you, Chris McCandless. August?" The note shown in the film was a page from one of his "journals."