Trivia: The BPRD complex was (according to Del Toro) was originally FDR's secret emergency bunker. The library where Professor Broom dies was the president's office and Hellboy's room (with the big vault door) was his fallout shelter, just in case Germany perfected the A-bomb first.
Trivia: The soundtrack for this film includes a very unusual instrument: a precision-played theremin. The theremin was traditionally used to create spooky sound effects, but it this film it's actually used for playing melody, which requires exceptional playing skill. It's most heard in the scene where the portal closes and Rasputin dies.
Trivia: Director Guillermo Del Toro didn't want to show a lot of blood during fight scenes, so he came up with ways of alluding to it. When Hellboy is fighting Sammael in the subway and he grabs the pay phone off the wall and uses it as a weapon, we see coins flying every time he hits Sammael with it. The coins represent the splatter of blood without actually showing it.
Trivia: When they stop at the display area with the Spear of Longinus, look behind the spear; there's a golden box with two angels on top of it, fitting the classic image of the ark of the covenant.
Trivia: The "gate" used to bring Hellboy to earth is very similar to the Revolution Studios (the film's studio) emblem.
Trivia: David Hyde Pierce dubbed the voice for Abe Sapien, but refused a credit.
Trivia: The Spear of Longinus (according to Christian tradition, a Roman soldier named Longinus used to pierce the dead Jesus at the cross), featured in the movie, actually exists exactly as it is depicted. The spear is a royal reliquary that can be traced back to around the year 900 (when it was most likely forged). The original spear is in exhibition in a museum in Vienna. http://www.nachlese.at/longinuslanze.htm. (00:21:50)
Trivia: When Professor Broom is leading Myer to meet Hellboy, they stop at a display area where Broom points out the Spear of Longinus. In a jar near the spearhead is what looks like a fetus preserved in amber liquid. This is actually a prop from Guillermo Del Toro's movie, "The Devil's Backbone." If you look carefully, you can also see the scarab prop from his movie "Kronos."
Trivia: In angelic lore, Samael is the prince of the demons. The name Samael is etymologized as 'poison of God' or 'venom of God', a combination of the Hebrew words 'sam', which means poison and 'el', which means God.
Trivia: The cockroaches that emerge from the manhole cover in the subway system not only homage Guillermo Del Toro's earlier film Mimic, but also reference an incident from the director's childhood where he and his brother encountered a swarm of cockroaches while cleaning the house for five pesos.
Trivia: One puzzling point for newcomers to "Hellboy" through the cinema was the scene in which Hellboy rhetorically asks John Myers, "You know what'll kill me, don't you?" The question is left open and unanswered for the rest of the movie (and it remains unanswered in "Golden Army," as well). Long-time readers of Mike Mignola's comics, however, have known for years that the only thing that can kill Hellboy is ripping his heart out of his chest. This is precisely what happened in the 2011 Hellboy comic entitled "The Storm and the Fury," when the dragon-witch Nimue unexpectedly ripped out Hellboy's heart, killing him on the spot and sending his soul back to Hell.
Suggested correction: He was rhetorically alluding to his love for Liz, and how it is metaphorically "killing" him that they can't be together. He even blatantly nods in her directly after he says the line. You're looking into it WAY too far... it's not supposed to be an inside reference to the comics.
It could very well be both an inside reference to the comic and a reference to his love for Liz.