The 62-year old Clint Eastwood (with the help of a safety belt) actually did hang six stories above the ground on the ledge scene, although stuntmen did the jump and the fall onto the fire escape.
John Malkovich improvised the scene where he puts the gun into his mouth. Executive producer and director Wolfgang Petersen liked it so much, he left it in the movie. Apparently, Clint Eastwood started laughing off camera, that's why you see Malkovich smiling while the gun is in his mouth.
To prepare for his role, John Malkovich lived in almost total seclusion for over a month prior to production to connect with Mitch Leary's sense of isolation. He didn't leave his house and wouldn't talk on the phone. He would also rarely watch any television. If he did, it was news programs.
In the U.K. release of this movie, the scene where Mitch Leary (John Malkovich) kills the bank clerk and her roommate was edited so the audience did not witness the physical breaking of each of their necks. Malkovich also wanted to include the killing of the dog in this scene, but executive producer and director Wolfgang Petersen thought this was a little too much.
This marks the first time that the Secret Service offered its full cooperation in the making of a movie.