The original concept for the ending was to follow classic Hollywood unsolved mysteries and was going to leave Collette's fate unknown. The ending was going to show clips from TV specials showing interviews with Collette's friends and other 'celebrities' speculating about what happened to her. While this idea was scrapped early in preproduction, the film does contain a short clip similar to the idea for the original ending.
All the 'films' and 'interviews' in the film are shown in black and white. This was done for two reasons:
1) To cue in the audience that what they are watching is in fact 'filmed' in the movie.
2) To pay homage to the classic medium of film noir.
The first scene that was filmed was the dream sequence in the theatre, and took four hours from set up to take down.