The "stone stairs", where some of the most emotional scenes take place, lead to the Buddhist Gokurakuji temple in Kamakura. The upper parts of the stairs are part of the temple itself and get closed off at 5 pm every day, so it would not be that easy for the characters to enjoy the view after sunset. In both the manga and anime the gates that block access to the upper part of the stairs are conveniently left out.
Actually, the whole series is set in a real life location, Kamakura. It's very eerie to see the same locations (the dirty beach, the stone stairs, the various shrines and the island with the tower).
Kaede means Maple. Guess where the main character lives...
The entire series makes reference to El Greco's paintings. In almost every episode, characters make a hand sign, which is repeated also in El Greco's paintings.
The handsign mentioned above is a variation on a Hebrew handsign. The whole story is played out like a holocaust as well, with the scientists (nazi-like figures) not only exterminating Diclonii, but also doing cruel tests on them
Sadly, Nazi scientists and their forebears in the semi-occult studies done on Human differences did in fact assign horns as a 'Jewish racial feature'. The (mostly laughable) drawings from these 'studies' show a Klingon-like ridge on each side. Plus, at least in the manga, the Kakuzawas call their efforts to create more Primary/Monarch Diclonius 'Lebensborn', an insane effort that sums up nearly every racial myth put fwd by the Third Reich.
Lucy is the "mother of all diclonius" according to many characters in the series. She is the only one anyone can find that can breed, and therefore she is the first known ancestor of all of the next generations. She is named after the Australopithecus fossil, Lucy, oldest known human ancestor (At the time): http://en.wikipedia.org/wiki/Lucy_%28Australopithecus%29
Nana is 7 in Japanese, which was her room number in the labs and her age at the start of the series.
Elfen Lied is German for "Elf Song". The manga ends with "Das Ende", meaning "The End" in German.