The first scene Nikita appears in was the first scene Anne Parillaud shot. Despite having only one line Luc Besson had Parillaud deliver nearly a hundred takes. Parillaud later found out that he used the second take in the movie.
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The "big gun" Nikita uses during the restaurant scene is a two toned Israel Military Industries Desert Eagle Mark VII chambered in .357 magnum
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Nikita shoots a Beretta Model 93R in the firing range scene. This is a selective-fire machine pistol variant of the Model 92. Examples of the 93R are now extremely rare and highly sought after, some allegedly selling for more than $100K.
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The diplomatic plates on the Mercedes driven by Victor in the mission to the embassy has a code indicating that it belongs to the Australian embassy.
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The odd looking gun that Nikita uses in Venice is a silenced Steyr AUG, an Austrian made assault rifle.