The interior scenes in Brooklyn were shot in actual houses and an actual synagogue, not on stages. Many of the interior house scenes were shot in the Sunset Park area of Brooklyn, in empty houses without heat, during a very cold January 2008.
The title is an American colloquial expression that refers informally (and sometimes derogatorily) to Protestant sects whose worship meetings often include sessions of frenzied excitement (despite the Christian connotation of the term, this movie is about Jews). In addition to that connection, the title also is a reference to the other subject matter of the film, the illegal trafficking of the drug MDMA or "Ecstasy" ("rolling" is a slang term used to describe being high on Ecstasy).
The long black pieces of leather with small boxes attached to them that Sam puts on his arms and head several times during the movie are called "tefillin" (or less commonly, "phylacteries," which is their secular, Greek-derived name). Very observant Jews (traditionally men, although some women in the Reform movement participate as well) over the age of thirteen put them on and say a blessing. The four Torah passages inside the little boxes all contain some variation of specific instructions to put those passages "on your hand" (which is why one box goes onto the arm) and "between your eyes" (which is why one box goes on the forehead). "Laying" or "wrapping" tefillin is considered to be a very important "Mitzvah" (commandment) in Judaism.
The trivia items below may give away important plot points.
In 1999, federal agents arrested Ecstasy smuggler Sean Erez as well as six others connected to his smuggling ring, including Erez's 21-year-old girlfriend Diana Reicherter (also known as Rachel) and 18-year-olds Simcha Roth and Shimon Levita. The last two had originally been members of New York's ultra-Orthodox (Hasidic) community and were accused of recruiting other Hasids to help with the drug smuggling. These events formed the basis of this movie's plot.
Judaism is not a proselytizing religion, meaning that unlike some other religions, its members do not actively recruit new converts. However, very orthodox and Hasidic Jews have no similar compunction against encouraging people who are already Jewish but less orthodox to become more orthodox. That explains the interaction that Sam has late in the movie with a Hasidic man on the street - once the other man verifies that Sam is Jewish, he helps him "wrap tefillin" and pray because he assumes that Sam is a secular Jew.