According to an interview on the DVD, Michael Madsen says that Kirk Baltz asked to ride in his trunk to experience what it was really like. Madsen agreed, but decided as he went along that this was time for his own character development. So he drove down a long alley with potholes, and then a Taco Bell drive-through before taking Baltz back to the parking lot and letting him out. The soda he ordered at said drive-through is the same one he can be seen drinking during his character's first appearance in the warehouse.
Michael Madsen had difficulty filming the torture scenes. He was particularly reluctant when he was required to hit actor Kirk Baltz. When the cop, pleading for his life, says that he has a child at home (a line not in the script), Madsen, himself a new father at the time, was so disturbed by the idea of leaving a child fatherless that he couldn't finish the scene.