For the "waltzing commuter" scene in Grand Central station, the main hall of the terminal was shut down for the shoot from 8pm until the first commuter trains arrived at 5:30 am the next morning. Lighting effects outside of the large terminal windows made it seem to be 5:00 in the evening the entire night, and over 400 extras waltzed around the mirror-ball topped Information Booth again and again throughout the night. Now, on New Year's, an orchestra plays there and people waltz for real.
The Grand Central Station waltz sequence is an idea that came up to Terry Gilliam when they were about to shoot a small and scripted sequence on that location. Of this, Gilliam said: "The script had a scene in Grand Central Station where Jeff Bridges' character in kind of a mood and he hears this poor, black woman singing a beautiful song and he stops in the rush of his life and he assesses his situation. Well, that was fine, and we were in Grand Central Station reccing it and I looked down from this raised area and I said "Ah, wouldn't it be nice if in the middle of this rush hour - cause people were just running past each other - if, as they pass somebody, they glanced to their left or right, fell in love and started waltzing?" I thought, "What a sweet idea that would be." And that's the sequence that end up in the final movie.
Terry Gilliam had three rules in life when it came to filmmaking: 1) he'd never do anyone's script but his own, 2) he'd never work for a major studio, and 3) he'd never work in America. He violated all three of the rules to make this film.
The Red Knight costume was fashioned out of latex over leather and urethane, with the helmet cast in aluminum and fireproofed. The "pennants" on the armor were made from Chinese silk, fishing poles and dune buggy antennae. The suit weighed approximately 125-150 pounds and was entirely self-contained: it was padded to protect stuntman Chris Howell in the event of a fall, and could have ice packs placed inside to keep Howell cool. Fire and smoke effects were controlled by Howell via buttons on the knight's lance. Propane tanks fueling the helmet's fire bursts were hidden in the horse's saddle, along with oxygen tanks for Howell's breathing apparatus (hidden in the helmet along with a two-way radio).