As is with all other Christopher Guest films, very little of the movie has a detailed script. Guest generally writes an outline so that the actors know what needs to happen in the scene, does a maximum of two or three takes, and has no rehearsals prior to filming.
When Victor is meeting with Morley in his office, there is a picture of Victor wearing the exact outfit he is wearing in the meeting.
Purim is a Jewish festival celebrating the victory over the attempted genocide described in the biblical book of Esther. It is normally celebrated with costume parties and hamentachen (filled cookies) for children and festive beverages for adults. It is, however, a less important observance on the Jewish calendar than such holidays as Yom Kippur, Rosh Hashanah, and Passover, and it is perhaps Purim's relative obscurity that lead the creators of this movie to use it as a punch line element in the title of their film-within-a-film.
The "prison movie with Sharon Stone" that the studio guard thought Marilyn appeared in was Last Dance (1996).
The title comes from the phrase that often appears on free DVDs mailed to possible Oscar and Emmy voters to get them to review movies, television shows, etc. that have been nominated for awards. Periodically, the phrase will briefly appear onscreen during the videos.