The scenes with Rob narrating were filmed in his house. He borrowed the games/systems/memorabilia from a local shop, and put up a black back drop to make the filming location less obvious.
The working title of the film was "The NES Club."
The opening shot of the film, panning across a room that is lined with NES games/controllers/memorabilia, according to the commentary, was inspired by Back to the Future's opening shot that panned across multiple clocks in Doc Brown's home.
The original rough cut of the film ran for nearly three hours. The final cut is only about one and a half hours (90 min).
The producer of Nintendo Quest deliberately avoided the exact dollar amount of each purchase to keep the viewer focused on the journey instead of the cost of each game. A genius way to allow the viewer to understand the importance of the hunt versus the cost of the prize.