Direct-to-Video: Bizarrely, in its home country - Lorimar Motion Pictures had planned to give it a North American theatrical release, but Michael's manager (and along with MJ the film's executive producer) Frank DiLeo wanted such a high percentage of the box office returns that it was cancelled.
Hey, It's That Guy!: The main bad guy in the "Smooth Criminal" segment is Harry. Looks like Kevin isn't the only kid he dislikes.
Pee-Wee Herman had a very brief cameo in the "Speed Demon" segment. Yes, really.
Keep Circulating the Tapes: There's no Region 1 DVD as yet, even with the surge of interest in Jackson's work since his death, so hold on to your VHS copies.
A Region-Free Blu-Ray version has been released in Europe and Australia, and will be released in the U.S. in the coming months. However, this has been censored (see the main page), so this still applies, unfortunately.
Also since it's being released in Europe and Australia (both of which use PAL), it would still be somewhat unwatchable in NTSC-standard countries (such as North America and Japan) without a dual-standard TV or other conversion equipment. Or watching in a computer.