(at around 4 mins) The "girl with necklace" at his magic show is played by Alice Kim Cage, Nicolas Cage's wife at the time.
Nicolas Cage came up with the idea for his character to be a Las Vegas magician, and for Jessica Biel's character to have a job that took her to a Native American reservation at The Grand Canyon (information taken from the special features on the North American Blu-ray release).
Throughout most of the film, Cage wears a gold jacket. This is a nod to the original Philip K. Dick story "The Golden Man" upon which the film is based.
Although most of the film was shot in HD with Panavision Genesis cameras, about a week of shooting was done on 35mm film because the location was forecast to be over 110°F, and the filmmakers were concerned that the relatively new and under-tested Genesis would overheat and fail.
The diner where Nicolas Cage runs into Jessica Biel's character is the same diner used in xXx (2002) with Vin Diesel. This diner is located in Los Angeles, not in Las Vegas: Pann's Restaurant, at 6710 La Tijera Blvd., in Los Angeles.