The ornament that Carmela throws at Tony and smashes against the wall is the Lladró figurine that she tells A.J. and his girlfriend is worth $3,000 in the Season 4 episode "Everybody Hurts."
This episode is unique in that it almost throughout its entirety employs the shaky camera style, with the exception of Dr. Melfi's scenes and scenes in Tony's car. The style may represent the episode's theme of Tony's unstable lifestyle with his feverish gambling and losing spree.
The Twilight Zone episode that Carlo attempts to explain to Tony is entitled "A Nice Place to Visit." In the episode, a dead gangster, Rocky Valentine, finds himself unable to lose when gambling and able to have any woman or any other pleasure he desires.
The Tampa Bay-Buffalo football game being watched at the Bing that Tony loses money on is actually footage from the film The Replacements (2000).
The title refers to: Tony's gambling addiction, "Chasing the vig" is common parlance in gambling vernacular for when one loses a bet(s) and then makes further wagers in order to either make up for the losses and/or keep up with any loan interest (the vig) accrued. Hesh having to actively look for Tony's debt money. The tendency of Tony to chase the thrill of winning in dangerous activities, as hypothesized by Dr. Melfi.