The Ansonia on the Upper West Side of Manhattan was used for the apartment building. The interiors were shot on a soundstage, but the scenes in the stairwells were shot at The Ansonia.
Bridget Fonda had the choice of playing either Allison Jones or Hedra Carlson. She ended up choosing to play Allison Jones, because she said it was a harder role.
The fetish club exterior was from a former real Manhattan S&M club called The Hellfire Club in the meat packing district of Greenwich Village. The interior is a set, but the red signature V is on one of the walls signifying that it was supposed to be another fetish club called The Vault.
Bridget Fonda and Jennifer Jason Leigh both wore wigs in this film.
Like most old apartment buildings, the building in this movie does not contain a thirteenth floor. You can see the floor numbers on the elevator in a couple of shots.