Joel Coen had Frances McDormand and John Carroll Lynch conceive a back-story for their characters to get the feel of them. They decided that Norm and Marge met while working on the police force, and when they were married, they had to choose which one had to quit. Since Marge was a better officer, Norm quit and took up painting.
William H. Macy begged the directors for the role of Jerry Lundegaard. He did two readings for the part, and became convinced he was the best man for the role. When the Coens didn’t get back to him, he flew to New York (where they were starting production) and said, “I’m very, very worried that you are going to screw up this movie by giving this role to somebody else. It’s my role, and I’ll shoot your dogs if you don’t give it to me.” He was joking, of course.