The producers were a little disappointed with the way this episode turned out. They wanted it to be an exploration of two topics, Bashir/Sloan and Section 31, and O'Brien/Bashir's friendship. They later reflected that it would have been better by just focusing on one or the other. By trying to straddle both, they achieved neither one.
The papers found atop Sloan's desk within his mind are the same pages used in the Book of the Kosst Amojan.
Since the scenes set within Sloan's mind took place on the series's regular sets, this is a bottle show. This was done deliberately to have extra money put towards the two hour finale.
This episode has been cited as one of the possible inspirations for the movie Inception, which came out 11 years later. Both stories involve a device that lets people walk around in someone dreams or subconscious mind with the possibility of extracting information, and both of them involve a recursive dream situation, in which someone thinks they've returned to reality, but then starts to wonder if they're still in a dream.
When Bashir shows Sloan the Romulan mind probes, he says "remember these". This refers to the episode "Inter Arma Enim Silent Leges", where Koval used them on Bashir with Sloan's knowledge.