The escalator in the Penn Station scene where Alice loses her shoe heel had unusually high sides to disguise that fact that it wasn't a real escalator at all. Wartime material shortages and restrictions prohibited MGM from building a real escalator, so the studio compromised with a conveyor belt. At no time in the scenes do you actually see escalator steps.
In the scene where Judy Garland and Robert Walker are riding in the milk truck, the song being played over the radio is "Our Love Affair" which was a hit song from Judy's movie Strike Up the Band (1940) with Mickey Rooney.
The scene in the café, with the drunkard played by Keenan Wynn, was all one continuous shot lasting approximately 3 minutes 30 seconds.