Naomi Watts learned her Russian accent for her role as Daka by watching YouTube videos and by going to a Russian spa in order to observe mannerisms and dialect.
Naomi Watts said in an interview that she was terrified during the sex scene with Bill Murray at the beginning of the movie. According to director Theodore Melfi, Watts was bright red and very tense. Murray could tell she was nervous, so after the director yelled "cut", he broke the ice by saying "are you seeing anyone?" Naomi cracked up and from then she was more comfortable around him.
Naomi Watts originally thought she was reading the script for the role as Maggie (Oliver's mom) as it was more similar to her actual personality.
Naomi Watts stayed in character even when she wasn't shooting in order to protect herself from feeling insecure around co-star Bill Murray.
Jack Nicholson was originally offered the role of Vincent; he turned it down but recommended Bill Murray.