The scene where Alvy and Annie are at their psychiatrists, which looks like a split screen scene, was actually shot simultaneously on one set with an adjoining wall.
Alvy's (Woody Allen's) sneezing into the cocaine was an unscripted accident. When previewed, the audience laughed so loud that director Allen decided to leave it in, and had to add footage to compensate for people missing the next few jokes from laughing too much.
Woody Allen and Diane Keaton had trouble keeping a straight face when working together. An example of the uncontrollable laughter between the two was the lobster dinner scene. It was the first scene shot for the movie and neither Woody nor Diane had to do much acting for the scene, for their laughter was completely spontaneous.
Truman Capote: The passerby Alvy refers to as "the winner of the Truman Capote look-alike contest" is, in fact, the real Truman Capote.
Marshall McLuhan: man that Alvy Signer pulls in front of the camera, as they are queuing for a movie. McLuhan corrects the man that was pontificating behind Alvy and Annie about his (McLuhan's) work.