In the final shot where McCloud and Bubba stroll off into the distance, Dennis Weaver's stunt double is used to make Bubba look even bigger (Weaver was six feet two inches, the double just five feet eight).
In the bar the Seagram Gin sign is partially obscured (so that only "agra" is visible) so as to not actually advertise the product. At that time it was illegal to advertise liquor in most States. This is also done to avoid paying licensing fee to the company. Even though the viewer knows what brand it is, the studio doesn't have to pay a fee as long as at least part of the name is obscured.
McCloud tells Mrs. White he became a cop after he was presumably arrested for running up a very large hotel bill even though he had no way of paying it. In later years it's disclosed that he did it because he was the son of the District Attorney.
The episode title is taken from a line spoken by Jimmy Cagney in the film White Heat.
The $10,000 Bubba wants would be equivalent to $75,000 if adjusted for inflation.