Acting for Two: John Malkovich plays himself, but also plays Craig, when he's permanently taken over Malkovich's body and assumed his identity. And then he plays Lester once Craig has been kicked out.
California Doubling: The whole movie was shot in L.A., but set in New York. When Lotte falls out onto the New Jersey Turnpike for the second time, look in the background for some palm trees that shouldn't exist.
The Danza (but very easy to mistake for As Himself): John Malkovich as John Malkovich. The former has said the latter bears "only the faintest resemblance" to himself. Among other differences, his middle name is changed (from Gavin to Horatio), he really had never been in "that jewel thief movie" at the time, and he doesn't live in New York.
Defictionalization. A lot of people in the film compliment John Malkovich for his role as a jewel thief. However, as the character repeatedly pointed out, he'd never played a jewel thief by 1999. In 2003, he played a jewel thief in Johnny English.
Dyeing for Your Art: One of the more memorable aspects of this film is that it cast John Cusack and Cameron Diaz—two of the most iconic actors in Hollywood at the time—and managed to make both of them practically unrecognizable. Cusack appears with ponytail-length hair, a full-grown beard and nebbish glasses, while Diaz appears as a homely, frizzy-haired brunette. The makeup artists personally said that making Diaz look unattractive was one of the most challenging parts of the movie.
What Could Have Been: If the movie itself made you raise an eyebrow or three, check out the original version of the script. Your head could conceivably explode trying to fathom it ever working on screen. And the movie had Malkovichworld, so that's saying something. Additionally, had Malkovich turned down the role, the film would most likely have been titled Being Steve Buscemi.
Specifically, the original script involves Craig cross-dressing in various female puppeteering jobs, the Great Mantini challenging Malkovich to a dramatic acting duel, Lester leading a Satanic cult bent on using Malkovich to take over the world (and succeeding), and Lotte marrying the chimp.
Charlie Kaufman said that at least one studio offered to fund the movie had he changed it to Being Tom Cruise. Might cross over into Hilarious in Hindsight, if one considers Cruise's behavior from around 2005-2008.