Exterior shots of the train were filmed on location on Japan, however, the interior shots were filmed on a set at Bridge Studios in Vancouver, B.C. The scenery rushing by outside the windows was simulated using large rotating drums with "blurred" scenery painted on it.
The casino-esque place Racine hides in is a Pachinko parlor and where the namesake game is played. The ball bearings work like tokens to play various games for prizes due to the fact that monetary gambling is illegal in Japan. To workaround this law often times a pawn shop like store will be nearby to exchange won prizes for money, these shops are rumored to be run by the Yakuza.
Much of the film was shot in the Greater Vancouver area, in May & June 1994. An open casting call for extras was held in April 1994 at the Holiday Inn on Howe St. Extras were paid $10/hour, however if you were given a speaking part (thus technically becoming an "actor"), your pay jumped to $1000 for the day.
To cut down on costs, a majority of the film was shot in Vancouver BC.
The split toed footwear seen throughout the film most notably with the ninja are called Tabi. They are designed to accentuate the gripping power of the foot and provide better "ground feel".