Beam Me Up, Scotty!: Rocky's signature colors are black and gold, not red, white, and blue. Apollo lent him the American flag trunks for his rematch with Clubber, and Rocky wore them against Drago because he was representing his country. This led to some people being confused when Rocky showed up at the fight in Balboa wearing black and gold instead of "his normal colors."
The fight scene in Rocky Balboa? According to an interview, it happened right after an actual boxing event, so people who were there for a pay-per-view match got to see the ending scene to Rocky Balboa, original ending and all! It helps that this was Stallone's choice so he can make the fight as realistic as possible by actually taking and giving hits.
The infamous Rocky statue in Philadelphia. It's still there today!
Rocky himself is treated as one of the icons of Philadelphia sports, to the point of building statues of him (the same statue from the movies). This may have something to do with real-life Philadelphia sports being the collective Butt Monkey of professional athletics, at least up till the Phillies won the World Series in 2008. Also, Stallone has all but been adopted as a native son of Philly.note Although that definition of Philadelphia holds true today, during the heyday of the Rocky series Philadelphia was at a high water mark for professional sports: the 'Broad Street Bullies' era of the Philadelphia Flyers was in recent memory with the team winning back-to-back Stanley Cups in 1974 and 1975 (and, incidentally, literally chasing the Soviet Red Army team off the ice in a 4-1 exhibition victory over the world champions in 1976). The Philadelphia Phillies won the World Series against Kansas City in 1980 and NL East titles in 1976-78. The 76ers would win their most recent NBA championship in 1983 (they made playoff runs in every year from 1976-83, taking the NBA Eastern Conference in 1977, 1980, and 1982—the 'Dr. J' era). The Eagles took their first NFC championship in 1980 (after making playoff runs the two previous years) although they fell to the Raiders in the Super Bowl that year. Boxing was probably the only sport that didn't have a champion associated with Philadelphia during this era, and even with boxing Philly had Joe Frazier, an adopted son of the city, who had been Heavyweight Champion just a few years earlier (1970-1973) and had his last hurrah where he almost defeated Ali for a second time in late 1975, less than a year before Rocky was first released.
Adrian Balboa has a real grave in Philly.
Enforced Method Acting: One of the reasons for Talia Shire's shy and reserved performance in the first film is due to the fact that she was suffering from the flu at the time of filming.
Hey, It's That Guy!: Rocky II features an appearance by then-CBS sportscaster Brent Musberger. CBS-TV New York Sportscaster Warner Wolf appears briefly in Rocky III.
And Balboa goes full ESPN/HBO, with appearances by Woody Paige and Skip Bayless in First And Ten, Sportscenter anchors Brian Kenny and Dana Jacobson, and ringside commentary by Jim Lampley, Larry Merchant, and Max Kellerman.
Throw It In: Several genuine prop mistakes in the first movie, such as Rocky's robe being too big and the colors of his shorts being inverted on a poster were referenced in the dialogue to look like intentional mistakes. The former is even mentioned in the second movie.
While preparing for Rocky II Stallone tore his right pectoral muscle which had to be operated on. This necessitated a change in the script where Rocky switched from fighting "southpaw" to fighting right-handed through most of the fight and using his left hand to jab.
Sylvester Stallone originally wanted to use "Another One Bites The Dust" by Queen for Rocky III', but couldn't get the rights. Instead, he contacted the band Survivor to write a new song, which became "Eye Of The Tiger". It's safe to say it turned out better than Stallone could have hoped.
One version of the script for Rocky Balboa had Mr. T reprising his role as Clubber Lang as a commentator for the Balboa/Dixon fight.
Carl Weathers wanted to have a cameo in Rocky Balboa as Apollo Creed. This would have removed his death in Rocky IV from continuity. Stallone didn't agree, and Weathers refused permission to use any footage of him in the opening montage.
There was also the alternate endings for both Rocky and Rocky Balboa. Both intend to have Rocky win the fight. The original ending of Rocky Balboa even had an extended ending sequence with Mason elaborating on his respect towards Rocky. The latter was filmed and is on all releases of the movie as a deleted scene.
Ivan Drago's characterization. Instead of being a 1 dimensional evil Russian cold war character, Drago could have been portrayed as a Max Schmeling (a decent man in real life), or including some of Dolph Lundgren's real life accomplishments like a degree in Chemical Engineering. Of course, this could have also been applied to Clubber Lang, instead of making them cardboard cutouts. Thankfully, Mason Dixon is much more humanized.