As Nick walks out of the Los Angeles movie theater, the short cigar-smoking fellow one step ahead of him is Jerry Maren, who at the time was one of the last surviving Munchkins from The Wizard of Oz (1939).
The Pez People were actors. The song "The Whites of their Eyes" was written and performed by the movie's writer Michael McKean and writer and director Christopher Guest.
During filming, they rented Wink Martindale's house for three days to shoot a party scene, not knowing that Charles Bronson had just purchased a house across the street. Before the three days were up, the crew had managed to accidentally kill Bronson's cat. The story is related in the book "I Killed Charles Bronson's Cat", written by the movies Location Manager Barry Gremillion. Guest and Bacon also recount this story on the DVD commentary track.
Martin Short: Neil Sussman. Short regrets not appearing in the film's credits. The reason he is uncredited: He was considered an "extended cameo" only having four scenes, totaling seven minutes. In his autobiography, he was so proud of the Neil Sussman character, that he wished he'd asked for screen credit.