The box of fake Rolex-es Peter has Neal carrying was actually heavy. Matt Bomer actually asked the props department to make it heavy to make it authentic...which he regretted after a few takes.
The anklet tracking data page Diana looks at when they're trying to locate Neal and Peter lists Neal's birthday as Oct. 11, 1977. This is Matt Bomer's actual birthday.
Andrew McCarthy showed up even on days when he wasn't needed for shooting just to be a part of the process or read off-screen.
When filming the U-boat in the warehouse, the only thing the actors had to play off was green cones that went around where the U-boat was on screen - the space was basically empty. The U-boat was put in via CGI.
Willie Garson describes his scene with Sara in this episode as him playing the role of the jilted ex.