In the Christmas party scene, the children that visit Santa are played by the children of the show's crew.
The very brief cameo-like role of the Russian-mob accountant Argon is played by Alik Sakharov, one of only two men who served as directors of cinematography (DP) for all The Sopranos (1999) episodes. Alik was DP on 38 episodes, but this is the only one he also acted in. Born in Tashkent, he, like his character, is also of Russian heritage.
Young Jackie Jr. is played by actor Jason Cerbone's real life younger brother Matt.
Flashbacks play a big part of this episode which was coincidentally directed by Jack Bender. He would later go on to direct multiple episodes of the flashback-heavy show Lost, as well as the Game of Thrones episode 'The Door,' which also deals primarily in flashbacks.
The song played during the ending credits is "I've Got a Feeling," by The Campbell Brothers with Katie Jackson.