The actors were never given the script in its entirety so none of them knew of their character's fates, sometimes not until the day they were actually filming their scenes. This meant that the actors were - more often than not - stressed, nervous and apprehensive on the day of filming, ideal qualities for the film itself.
The directors originally toyed with the idea of having the TV camera crew shadow some policemen. They decided to go with firemen instead as they tend to be more popular and accepted by the general public, especially following 9/11.
The trivia items below may give away important plot points.
While filming the scene where the young fireman falls from the stairs, not a single actor knew that was going to happen, so the reactions of the characters were the real reactions of the actors themselves.