3. Leonardo DiCaprio was Nolan's only choice for the role of Cobb in Inception.
4. All robots’ names in Interstellar are anagrams.
5. The title "Dunkirk" is divided into three segmented colors: sky blue, dark blue, and white, referring to the triptych plot of air, sea, and land.
6. Interstellar features the most footage ever shot using 15/70mm IMAX cameras for a feature film.
7. Memento took only 25 days to shoot.
8. Heath Ledger created the original look for the Joker in The Dark Knight. Nolan was so impressed with the interpretation that he made his team re-create it themselves.
9. Steven Spielberg was originally going to direct Interstellar.
10. Nolan was so fascinated with Cillian Murphy's bright blue eyes that he kept trying to find reasons to have Crane remove his glasses in Batman Begins.
11. Christian Bale's active dislike of his uncomfortable Batman outfit during the audition inspired his signature Batman voice.
12. Joseph Gordon-Levitt went to his audition for Inception after reading a brief character summary wearing a full suit "just in case", unknowingly matching his character's wardrobe perfectly.
13. While the Batmobile was being moved to film a scene on the streets of Chicago, a drunk driver accidentally crashed into it in a state of panic believing it to be an invading alien spacecraft.
14. Twelve of the original Little Ships that participated in the actual Dunkirk evacuation appear in the movie.
15. The language used by Ken Watanabe in Batman Begins is supposedly some gibberish he made up for the role, though the subtitles list it as Urdu.
16. The role of Saito in Inception was written exclusively for Watanabe because Nolan felt that he did not have enough screen time in Batman Begins.
17. Nolan rode in the Spitfire shown in Dunkirk in order to get a sense of the aerial feel of the fighter plane and to help him shoot a realistic experience of the dogfights.
18. Cinematographer Mark Vargo turned down an interview with Nolan because he didn't understand the script of Memento. He later admitted that this was a mistake.
19. Matthew McConaughey did not even reveal the plot of Interstellar to his wife until the post-production was complete.
20. To prepare for his role as the Joker, Ledger hid away in a motel room for about six weeks to delve into the psychology of the character.
21. Around 30 Dunkirk survivors who attended the premiere in London felt that the movie accurately captured the event but that the soundtrack was louder than the actual bombardment.
22. The method of space travel in Interstellar was based on physicist Kip Thorne's works.
23. The production budget of Following was only $6,000, which makes it one of the least expensive movies in history.
24. In order to avoid confusion, television broadcasts in Japan include text to remind viewers which level of the dream a specific scene takes place in Inception.
25. Stephen Tobolowsky, who played amnesia-affected Sammy Jankis in Memento, actually suffered from temporary amnesia IRL after a kidney stone procedure.
26. Insomnia is the only film directed by Nolan in which he does not have an official writing credit even though he wrote the final draft of the screenplay himself.
27. The clock that Cobb steals in Following is the same clock as the one in Memento.
28. If you take the first letters of the main characters' names in Inception — Dom, Robert, Eames, Arthur, Mal, and Saito — they spell "dreams".
UPDATE
This post has been updated with more context to the Batmobile incident along with sources to each fact.