The filming location was the same house used for the first and eighth seasons of American Horror Story (2011).
The first time Anya mentions her phobia of bunnies, which will be a running gag for the rest of the series.
The title reference comes from the First Inaugural Address of Franklin D. Roosevelt on March 4, 1933: "So, first of all, let me assert my firm belief that the only thing we have to fear... is fear itself - nameless, unreasoning, unjustified terror..."
The second of three with a Halloween-theme. Giles reveals the reason why supernatural forces avoid going out on Halloween: "They find it all much too crass". A Halloween theme occurs every second season of Buffy, previously in season two with Halloween (1997) and later in season six with All the Way (2001).
The "Old Book" referenced by the frat guys of Alpha Delta for drawing "The Seal of Gachnar" is a real book of occult reference, which can be seen used many other times in the show covering five seasons. While the book is full of genuine old occult drawings, the ones seen on the show such as The Seal of Gachnar are fictitious and were added into the book for use on the show.