The director picked the grocery store that the movie was filmed in because of its "run-down, big city" quality. When the producers paid the owner of the supermarket for permission to film there, the owners took some of that money and repainted and repaired the store, for a more "hollywood" look. The director and producers were understandably unhappy with this, since the only reason they picked the store was how it looked in the first place. The producers, after getting consent from the store, hired a crew to bring the store back to what it had looked like before. The finished product is what you see in the film.
Sarah Polley has said in interviews that she only took the role because she loved the line in the opening scene: "...and look how far it got you."
John August's chief recollection about making the film - which is largely set at night - was being up from 8pm to 8am for 25 straight days.
Timothy Olyphant, who plays Todd, thought the character needed a neck tattoo. However, the director, Doug Liman, thought it was a bad idea, because it would make him appear too sinister. The next day, Olyphant showed up with a temporary tattoo of a pair of flaming dice that the make-up department had stamped on his neck. Liman ended up liking it and it stayed in the movie.
Writer John August had originally intended "Go" to be a short film. The original screenplay was made up basically of the "Ronna" part of the script. The other two sections were added to explain why Simon went to Las Vegas and who Adam and Zack are.