As mentioned on the DVD commentary, the Anthology of Interest episodes came from a desire to tell stories that couldn't be told in normal continuity, similar to Marvel's What If? comics.
The title "Tales of Interest" may also be a reference to the Sci-fi themed Marvel Comics series, Tales of Suspense best known for introducing the superhero Iron Man.
The Fing-Longer reappears in later episodes. In commentary, it has been revealed that Farnsworth 'got around to making it'.
When rebroadcast during the 2000 Presidential Election, the tagline at the start of the episode said, "Starring a guy who is kind-of, sort-of our next president, maybe!".
Scruffy has his first speaking role in this episode.
This is Al Gore's first appearance in any television show.
After coming online and scratching himself, Bender burps his trademark burst of flames. The belch sound effect is subtly accompanied by Godzilla's roar.
When asked who he is by Fry after crash landing, Bender identifies himself as "a big robot and I want a big cereal!" referencing the slogan used by Honeycomb for TV adverts in the 80's.
During Bender's "rampage" across New New York he stops to grab a smoke using a (conveniently cigarette looking) smokestack from a plant for Kentucky Slims Chicken Flavored Cigarettes, a parody amalgamation of the Virginia Slims and KFC brands.
Sadly, Gary Gygax passed away eight years after this episode aired. Bender's Game was dedicated to him.
If one looks closely, Nibbler's third eye can be seen behind the trash can in Fry's story, because he was intended to push Fry (see "The Why of Fry").