'Penn, Sean' had originally turned down his role due to schedule conflicts, and Bill Paxton replaced him. About a week before filming, Paxton backed out; fortunately, Penn had become available.
The town of Superior, Arizona, actually exists and has also been the filming location for The Prophecy (1995), starring Christopher Walken.
The role of Grace was originally intended for Sharon Stone, but salary negotiations fell through.
Towards the beginning, we briefly see a sign that reads "Rutowski for council." It's a reference to co-producer Richard Rutowski, who also briefly appears as "Biker #2" around that same moment.
When a journalist asked Oliver Stone why he did such a film, Stone responded that he wanted to make a small film that he would enjoy seeing as a teenager.
When Jennifer Lopez's character (Grace McKenna) flashes back at the end of the film we see lots of photographs of her as a child. These photographs are actually photos from Jennifer Lopez's private collections of herself as a child.
Though a long shot, Oliver Stone attempted to cast Marlon Brando as the Blind Man, the eccentric Navajo character. Jon Voight, a much more realistic choice, was eventually cast.
Loosely inspired by a true event that took place in the early '80s where a drifter (like 'Sean Penn''s character) passed through a remote Southwestern road-stop only to never be heard from again.
Joaquin Phoenix's first appearance in this film ended with the song Ring of Fire by Johnny Cash. He went on to play Johnny Cash in the film Walk the Line (2005).