People on the set would call the armless man "the condom man" because the costume was a two part thing, covering his legs and his upper body. So they put on the upper part by stretching it over his head to his waist. See more...
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Other: During the scene with Pyramid Head removing the bar blocking the door to the room where Rose and Cybil are, the flashlight's light is being pointed at the door the entire scene. However, Cybil is only seen pointing it at the door at the beginning of the scene, and then at the end when she realizes Pyramid Head is destroying the barricade. Throughout the entire middle of the scene, Cybil is not pointing the flashlight at the door as it would seem, rather she has her body, and hands, pinned to the back wall with the flashlight pointing downwards.
Revealing: As the miners are trying to break down the washroom door, the camera pans over the door frame from Rose's side to the miners' side. Just as it settles into its final position, you can see the sliding wall section they used to allow the camera to pan, sliding back into position on the left of the doorframe.
Revealing: When Christopher first meets Officer Gucci on the bridge, it is absolutely pouring down rain on and around them. However the river which they are just a few feet from is calm and not being rained on. I know that rain has to stop at some point, but they are on a bridge and no rain is hitting the water below the bridge.