Just before Terry and Allen are forced to turn over their evidence to the SEC in New York, there is a cut scene of a skyline. Since everything takes place in New York one assumes that it's the New York skyline, but if you look closely there are two tall buildings: one is the John Hancock building and the other is Prudential Tower, both located in Boston Massachusetts, which is where Mark Wahlberg grew up.
During an interview on Attack of the Show, Adam Mckay claimed he was initially reluctant to cast Mark Wahlberg. He worried that a more traditional actor like Wahlberg couldn't keep up with a cast famous for improvising. Mckay later admitted that Wahlberg adapted perfectly within minutes of shooting the first scene.
The role of Detective Highsmith was originally written with Michael Chiklis in mind. However, when offered the part, he turned it down to avoid typecasting after the series finale of his acclaimed police drama, The Shield (2002).