Steve Buscemi has said on the commentary for the DVD that he was the one who threw the steak at Tony's head.
The snow in the woods was not written in the script. It was originally planned that Christopher and Paulie were suffering through the cold temperature. A blizzard occurred right before filming. The light snowfall when they first enter the woods was the last of the blizzard.
The shot from the tree, that many people have identified as the Russian's point of view, was not intended to be that. Steve Buscemi and David Chase revealed on an interview that they didn't realize that until after the airing.
In order to make James Gandolfini genuinely laugh when he sees Bobby in his hunting outfit, Steve Schirripa actually came out wearing a dreadlocks wig, and a large dildo hanging out of his underwear.
The episode's idea came from a dream 'Sopranos' director Timothy Van Patten had about Paulie and Christopher being lost in New Jersey's Pine Barrens. The dream stemmed from childhood memories of stories Van Patten's father used to tell him about a creature that lived in the Barrens. Van Patten and co-writer Terence Winter each received Writers Guild and Edgar awards for the script, plus an Emmy writing nomination.