Since the creator of the show Michael Garrison conceived and called it a James Bond on horseback, Richard Kiel, who played a villain in the show, also played the giant steel teeth henchman Jaws in two 007 movies The Spy Who Love Me and Moonraker.
Throughout the series various characters mispronounce "cavalry" as "calvary", confusing a pair of near-homonyms with Latin origins. Cavalry means soldiers on horseback. Calvary means an object shaped like a skull. The most (in)famous "place of the skull" (Calvariae Locus in Latin) was a Jerusalem landmark where Jesus Christ and various convicts were crucified during Roman Empire times.
The opening credits as originally designed for the pilot (and included on the season 1 DVD) show the animated cowboy knocking down the woman trying to stab him. In the first season as aired, the cowboy kisses the woman, who dreamily turns away instead of trying to stab him. Later episodes reinstated the cowboy knocking the woman down.