What Could Have Been: An interview with Chris Sevor revealed that not only did they plan on making a sequel to Conker's Bad Fur Day, aptly named Conker's Other Bad Fur Day, but the plotline of the game was actually finalized. However, Microsoft decided against doing a sequel until they decide to ask, so development was shelved. The only known parts of the plot revealed to the public was in the beginning, where Conker was dethroned, imprisoned, and awaiting execution because he wasted the entire royal treasury on beer, parties, and hookers. He then has to make an escape from the castle's highest tower with a ball and chain attached to his leg.
There was an online petition, that was made to get Other Bad Fur Day back into Development. The maker of the petition had stated that he sent the petition to Microsoft and they didn't response regarding on the topic of Other Bad Fur Day. And he is currently trying to get Nintendo to buy back Rare. To get the proposed sequel made for the Nintendo Wii.
As mentioned above, the game was originally a kids platformer in the vein of Banjo-Kazooie. At first it was Conker's Quest before changing into Twelve Tales. This younger version of Conker can be seen in Diddy Kong Racing, and an ill-fated Game Boy game; some Posters released for the remake of Bad Fur Day says both are canon and take place in the past. You can view 30 minutes of gameplay in this unreleased game here.
One of the developers mentioned that a cutscene mocking Pokémon was removed due to Nintendo's request. Amazingly, those who hacked the files of the beta version actually found said scene.
As seen in this video, there was originally a scene where two Tediz surgeons are experimenting on a squirrel soldier while he's still alive not unlike the Nazi experiments during the Holocaust. It was replaced with the Tediz Breaking the Fourth Wall by talking about the game before turning their attention to Conker.
The death loophole for red squirrels (only) might be in reference to the problem the UK (where Rare is based) having a problem with native red squirrels being driven to extinction by transplanted American gray squirrels.