There were 32 different Directors of Photography during the shoot. The idea was to have a different D.P. for every new place that Bubby went to not only give the film more of an experimental feel, but also to eliminate the worry of having to always have the same crew on set every day.
The entire movie was shot in sequence. This made it easier for Bubby to mimic previous characters' dialogue since he had a chance to hear it performed first.
The roach that Bubby ate was real.
During shooting director Rolf de Heer heard a rumor that the Australian government might legalize the death penalty. Outraged at this, he wrote an alternate ending which featured Bubby being arrested and hanged for his crimes. de Heer eventually changed his mind and the ending was never shot.