On the second disc, go to [Super Burley Brawl] where you will get a selection of 3 boxes to pick and watch the same scene in different ways. After making your selection, near the begining when the movie starts, in the large box press the [Right] button on your remote and you will highlight a white rabbit. Press [Enter] and you will see a 5 minute featurette on how they made all the extras of Agent Smith.
Neo in Limbo?
When the movie starts we pick Neo up in the train station with the little girl. If you take a look at the wall behind them you will notice some writing that says "MOBIL AVE". We all know that Neo is in a place that is neither here nor there, in between the real world and the Matrix. If we rearrange "MOBIL AVE" we get "LIMBO AVE", and we all know what LIMBO is, and that is where he's at.
Tastee Wheat
At approximately 10:18 in the movie, Morpheus, Trinity, and Seraph enter a train and see the Trainman. At 10:43, the Trainman runs out of the train. There is an advertisement on the wall outside the train for "Tastee Wheat". This is an egg referring to a part in the original Matrix where Mouse is talking to Neo about Tastee Wheat.