California Doubling: The underwater scenes are supposed to be Gibraltar, but were shot in the Bahamas; also, since Japan didn't allow for Stuff Blowing Up in a national park, parts of the Little Nellie battle were shot in Spain.
The Danza: Aki is played by Akiko Wakabayashi. Though interestingly, Mie Hama was supposed to play this role until she was given a part that better suited her limited grasp of English.
Mie Hama was having trouble learning English, while Akiko Wakabayashi had much progress. Since the former took this so seriously that she threatened to kill herself if fired, the producers just traded the roles between actresses, as Kissy appears much later in the story and has less lines.
The Toyota 2000GT wasn't supposed to be a convertible, but it got converted into one due to Sean Connery's height.
Throw It In: While everyone else is remarkably calm, Blofeld's cat gets completely freaked out and tries to escape when the control room starts taking structural damage.