For the "waltzing commuter" scene in Grand Central station, the main hall of the terminal was shut down for the shoot from 8pm until the first commuter trains arrived at 5:30 am the next morning. Lighting effects outside of the large terminal windows made it seem to be 5:00 in the evening the entire night, and over 400 extras waltzed around the mirror-ball topped Information Booth again and again throughout the night. Now, on New Year's, an orchestra plays there and people waltz for real.
The Red Knight costume was fashioned out of latex over leather and urethane, with the helmet cast in aluminum and fireproofed. The "pennants" on the armor were made from Chinese silk, fishing poles and dune buggy antennae. The suit weighed approximately 125-150 pounds and was entirely self-contained: it was padded to protect stuntman Chris Howell in the event of a fall, and could have ice packs placed inside to keep Howell cool. Fire and smoke effects were controlled by Howell via buttons on the knight's lance. Propane tanks fueling the helmet's fire bursts were hidden in the horse's saddle, along with oxygen tanks for Howell's breathing apparatus (hidden in the helmet along with a two-way radio).
The "castle" in New York is the façade of the Squadron A Armory, which is now part of the Hunter College Campus located at 94th and Madison Avenue. When Robin Williams tells the story of the Fisher King, he says, "I think I heard it at a lecture once... I don't know... (I think I heard it from) a professor at Hunter (College) " Before succumbing to his delusions, Parry was a professor of medieval history at Hunter College.
Costume designer Beatrix Aruna Pasztor's initial concept for the Red Knight was that the suit of armor would be made from found objects (not unlike Parry's "medieval" garb) such as car parts and industrial waste, but Terry Gilliam wanted something more accurately medieval. The final concept was meant to suggest the knight was burning from the inside out, with smoke pouring from his joints and flame bursting from his helmet.
The front window of the video store features a poster for director Terry Gilliam's previous film The Adventures of Baron Munchausen (1988). A poster for Brazil (1985) (also directed by Gilliam) appears on the wall in the first video store scene. Almost all of the posters and video tape boxes in the video store are from RCA/Columbia Pictures Home Video, the video arm of TriStar Pictures, which released the film.
At college, Mercedes Ruehl had done a thesis about T.S. Eliot's poem "The Wasteland", in which the Fisher King features. Consequently when she received a script entitled "The Fisher King", she knew that this was the right project for her.
Howard Stern was asked for tapes of his radio show. Howard refused and instead asked to be a consultant since they were modeling the character after him. The studio did not want to pay Stern, so they declined and in return Stern told them he wasn't interested in giving them his tapes.
The girl that Jack says might be able to help Parry to find the Holy Grail is named Lydia Sinclair. One of the legends about the grail is that it is buried under Rosslyn Chapel in Scotland which was built by the Sinclair clan. The name Sinclair comes back in several grail myths.
The Grand Central Station waltz sequence is an idea that came up to Terry Gilliam when they were about to shoot a small and scripted sequence on that location. Of this, Gilliam said: "The script had a scene in Grand Central Station where Jeff Bridges' character in kind of a mood and he hears this poor, black woman singing a beautiful song and he stops in the rush of his life and he asseses his situation. Well, that was fine, and we were in Grand Central Station reccing it and I looked down from this raised area and I said "Ah, wouldn't it be nice if in the middle of this rush hour - cause people were just running past each other - if, as they pass somebody, they glanced to their left or right, fell in love and started waltzing?" I thought, "What a sweet idea that would be". And that's the sequence that end up in the final movie.
Parry says to Lydia that he "he has a hard-on the size of Florida". In the beginning of the film, Jack's girlfriend is shown sketching a picture of a man lying down naked (just as Parry does in central park) with the United States drawn over his torso and groin, Florida being placed exactly where a hard-on would be located.
The dialogue that Parry mutters to himself while sitting on top of the car while the alarm blares is attributed to both Percival - for whom Parry's character is named - and to Don Quixote. Terry Gilliam would later direct The Man Who Killed Don Quixote (2018).
The trivia items below may give away important plot points.
Besides his connection to the medieval legend of the Fisher King, the Red Knight as he is depicted in the movie combines both the fire from the murderer's shotgun and the immediate splattering of the face of Parry's wife. Both images being so traumatic that it is implied his subconscious converts them into the fire and splattered-red configuration of the Red Knight's armor.
While it is not mentioned in the film, Parry's name is short for Parsifal, the "pure fool" and legendary knight of the Holy Grail. Parry brings redemption to Jack Lucas just as Parsifal brings redemption to the Fisher King Amfortas. Also, like Parsifal, Parry does battle with a Red Knight. In still another parallel, Parry experiences a cosmic awakening after kissing Lydia, just as Parsifal experiences a cosmic awakening after kissing the beautiful Kundry.