My wife and I were walking down the street in Sheung Wan (Hong Kong) a few years back, when we were attracted by the sight (and sound) of a scruffy local man with a large hammer standing on top on a taxi and beating the cr@p out of it.
My wife recorded the incident on her digital camera as we looked on in astonishment. A young woman then came over to us and told us that the guy was preparing the taxi to use as a prop in a movie, and went to great lengths to explain that it was 'not real' and we shouldn't be worried/concerned. It was not until I saw Internal Affairs that I found out what the movie was. The taxi was the one that Andy Lau's boss fell on, after being thrown off the roof.
I agree, great film - Andy Lau's best work. Tony Leung is always outstanding, whereas Lau's past in less than checkered - until IA, he was just a pretty boy/singer. If you're interested in HK movies, check out Wong Kar Wai's Chungking Express or In the mood for love (Leung appears in both). If you like action, try Hard Boiled, etc.
I was at the Hong Kong Audio show last year. One of the rooms displayed the amps used in the movie, with a big "as seen in Internal Affairs" poster beside. Hmmm... really, in that case, I'll have two!