The actual house is the same used in The Best Little Whorehouse in Texas (1982), which can be viewed during Universal Studio's tram ride. However, during filming, Universal refused to cease the tram tours, which delayed filming during many scenes.
When Denise is lowered in Dr Satan's lair, a tape player is also sent down and it keeps repeating a slowed down version of Aleister Crowley's poem "The Poet", read by himself (found on CD called The Great Beast Speaks which is the only known recording of Crowley). The line from the poem that gets repeated over and over is: "Bury me in a nameless grave".
Captain Spaulding: Howdy Folks! You like blood? Violence? Freaks of nature? Well then, come on down to Captain Spaulding's Museum of Monsters and Mad-Men. See the Alligator Boy, ride my famous Murder Ride. Most of all, don't forget to take home some of my tasty fried chicken! Ha ha! It just tastes so damn good!