The musical numbers "My Own Best Friend" and "Me and My Baby" were originally written into the script, but were removed at the last minute. "My Own Best Friend" was to have taken place when Roxie and Velma are put in solitary confinement after getting into a cat fight. "Me and My Baby" can be heard briefly when Roxie faints and proclaims her pregnancy.
The lead role was offered to Hugh Jackman but he declined because he felt he was too young for it. Later he admitted that he regretted declining the role after seeing the movie.
Kathy Bates was director Rob Marshall's first choice to play Matron Mama Morton, but she was scheduled to film About Schmidt (2002). Queen Latifah (playing Mama in Chicago (2002)) and Kathy Bates in About Schmidt were both nominated for Best Supporting Actress Oscar in 2003.
During the scene "I can't do it alone" there is one shot where Velma cartwheels over the chair, and we can see Roxie looking straight at her. But in the very next shot, Roxie is looking down at a paper, and just giving Velma a small glance with one eye.
At the end of the movie when Velma approaches Roxie with a job offer after her dismal nightclub audition, Roxie buttons her coat while preparing to leave. In her next speech the coat is swinging open, then is firmly buttoned again after she passes through the doorway.
When Roxie is dancing with a group of men in the "Roxie Hart" number she walks forward surrounded by men then the camera switches angles and the man on her right is suddenly on her left.
The movie opens with a pair of eyes and the camera going into them. Assuming that's Roxie, it could mean that the ENTIRE movie was part of her imagination. That's hinted when she imagines she's singing "All That Jazz" instead of Velma. The "Nowadays/Hot Honey Rag" number also suggests this, because in the audience we see Billy, who wouldn't care about seeing them perform. However, some musical numbers (like "Mr. Cellophane") can't be imagined by her, because she isn't present in the scene.
Q
Was Roxie really pregnant?
A
No she wasn't. She seduced the doctor to make him say so. In the scene where Billy talks with the doctor, he tells him that his (the doctor) fly is down. She did this in order to draw publicity and sympathy back to her case.
Also she admits it in the conversation with her husband after the trial.