Carl Spackler was originally a silent character in the script, in the manner of Harpo Marx, but after Bill Murray was cast, Harold Ramis encouraged Murray to speak and improvise.
Bill Murray improvised the "Cinderella story" sequence from two lines of stage direction. Director Harold Ramis simply asked Murray to imagine himself announcing his own fantasy sports moment. Murray simply asked for four rows of chrysanthemums and did the scene.
According to Chris Nashawaty's book "Caddyshack", Rodney Dangerfield was so unaccustomed to how films were made, Harold Ramis had to gently guide him to make sure he was comfortable. The first scene Dangerfield was in, the pro shop scene, was ready to go and Ramis called "Action". Nothing happened. Dangerfield just stood there. Ramis asked him if there was a problem. Was he ready? "Sure", Dangerfield said. Ramis called "Action" again. Again, nothing. Ramis walked over to him and said "Rodney, when I call 'Action,' that's your cue to come in and do the scene." "You mean, do my bit?" "Yes, do your bit." Ramis called "Action" for a third time. Silence. He then said "OK, Rodney, now do your bit." Dangerfield pounced into the room and delivered a perfect take, even improvising the line about getting a free bowl of soup. From then on, whenever Dangerfield was in a scene, Ramis never said "Action." He just said, "OK, Rodney, do your bit."
A big hill was built from scratch for the climactic 18th-hole scene, because the country club did not want its course blown up. The pyrotechnic people used too many explosives, which completely destroyed the hill and caused planes flying by to report the explosion, as if a plane had crashed there.
Cindy Morgan (Lacy Underall) has said that the oil massage scene with Chevy Chase was also completely improvised. When Lacy exclaims "You're crazy!" that was Morgan's genuine reaction to Chase dousing her with oil, as was Chase's reply, "That's what they said about the Son Of Sam."
Douglas Kenney: the balding man in black tuxedo and glasses who Al says "You two should get a room" to in the club dining room scene.