Mickey Rourke visited the infamous Butyrka prison in Moscow to study the mannerisms of real-life Russian criminals. Bizarrely enough, Rourke noted the prisoners were actually pretty nice. He also put himself through emotional hell by having the director hold up pictures of his favorite (now passed) pets for scenes where he needed to be anguished or enraged (or both, as so often goes together with him).
Robert Downey Jr. gained muscle to play Tony Stark, though he'd already been quite fit.
Gwyneth Paltrow and Scarlett Johansonn turned into redheads. The latter hadn't even been cast yet, she just wanted the role that bad.
Jeff Bridges actually looked forward to the idea of shaving his head for the role of Stane—he'd been planning on doing it for years, and this was his excuse.
Writing by the Seat of Your Pants: A script was written, but as the actors continued to come up with lines that better suited the film, halfway through shooting, they just went "To hell with it", threw away the script (which was constantly being rewritten every night), and wrote outlines of the scenes.