Jonas Åkerlund's original plan was to use real devotees of suspension - the S&M practice depicted in the film - as the murder victims. However, he soon encountered all sorts of issues with Health & Safety over the spilling of real human blood (an unavoidable consequence of having hooks pierced into skin) so opted for prosthetics instead.
Part of Dennis Quaid's contract was that he was allowed to go back to Los Angeles every weekend. He chose not to exercise that option as he enjoyed himself so much on the shoot, even bringing his wife and his band up to Winnipeg on occasion.
Neal McDonough was originally cast as Krupa and shot all of his scenes. After almost a year there were reshoots in Chicago which involved all McDonough's scenes; he was not available so Chelcie Ross replaced him.
Reshoots a year later caused a few unforeseen problems. One of the main ones was that 'Clifton Collins Jr' had shaved off all his hair and mustache for another role so he had to wear a wig and a false mustache for his redone scenes.
The model for Dennis Quaid's character was Charles Bukowski, the hard-drinking, hard-living author. Indeed Quaid showed up on the first day of shooting with a full beard. The decision was then taken that Bukowski was a little too extreme a characterization for the lead role so it was toned down a little.
There was active discussions about changing the title to "Come and See". Particularly when some poster artwork came back from China with Dennis Quaid and Ziyi Zhang sitting on a horse - a literal interpretation of the title Horsemen (2009).
The trivia item below may give away important plot points.
Eric Balfour had a nurse dab water into his eyeballs during his big torture scene. Having one's eyes held open continuously causes them to dry out quickly so the nurse would keep moistening his eyes and actually remove the clamps in between takes.