The extra scene after the end credits was supposed to set the stage for a sequel, but due to the film's negative reviews, 20th Century Fox decided to abandon plans for a sequel.
Early in the film, Max beats up three thugs in the Roscoe Street subway station. This fictitious station is the setting of one of the first levels in the video game, where DEA Agent Alex Balder (upon whom the film's Detective Alex Balder is based) is murdered.
James McCaffrey, the voice of Max Payne in the video game, makes a cameo as the FBI Agent that Lieutenant Jim Bravura introduces to the "real" police officer. He also shows up near the end of the film, asking if Bravura is alright, before calling in Division One over the radio.
Due to the PG-13 rating that the studio wanted, John Moore filmed two versions of the two biggest action sequences in the film, a) The Aesir Swat Building Shoot-out, and b) Max Payne's attack on the Aesir building starting from the parking garage scene. John Moore filmed a version with impact squibs (seen in the PG-13 cut) and one with bloody wound squibs. Moore also stated that the parking garage scene during the filming of using the blood wound squibs was "one of the bloodiest shootouts he has ever filmed".
The game designers at 3D-Realms were apparently unimpressed by the motion picture adaptation.