The song that Landon is listening to when he pulls up to the cement factory is by Shane West's own band "Jonny Was" (then "Average Joe"). The song appears on the soundtrack under the band name "West, Gould, & Fitzgerald".
The "Walk to Remember" is not a walk with both Landon and Jamie. It is Jamie's walk down the aisle. Some people think it is the walk down the pier when he says he loves her and some think it's their first walk up to the school past all of Landon's friends a scene or two later. This is not only stated explicitly in the book but it is also meant to be clear at the end when Landon goes to see Jamie's father and his "thoughts" are something like "...but the vision of Jamie walking towards me will be with me forever." On the DVD commentaries they discussed how they added that because people didn't know why it was called A Walk to Remember or just which walk was supposed to be so memorable. In the book Jamie is much more ill and can barely make it down the aisle, but "it was in every way, a walk to remember."
After the play, on the front porch of Jamie's house, Landon arrives and gives her a pink sweater. At one point in this scene, you can see the red lights of a car pass from left to right behind Jamie. That is a real police car in the middle of a real car chase! You can hear more about this on the commentary with Shane West, Mandy Moore, and director Adam Shankman on the DVD.
As someone who lives near Beaufort, NC, I thought it was funny that hardly any of the scenery in the movie looks like anything in Beaufort. The only truly recognizable thing is near the end, when Landon is driving back to Beaufort, there is a shot of a sign that says Beaufort, with lots of other signs on it. That is the only thing I recognized in the whole movie.