Couple of nuggets you may not know from Holy Grail:
They had originally planned on real horses, but couldn't afford them. I can picture them sitting around in a room saying, screw it, we'll use coconuts! Being Pythons, this was of course accepted.
Best scene that didn't make it into the movie:
MERLIN'S WORKSHOP
A knight in full plate mail armour hangs from the ceiling with a horseman's lance stuck though the center of his chest. Merlin tinkers on the armour with a spanner.
MERLIN: Well, all magic armour does this when it's new.
KNIGHT: It just went right through.
MERLIN: Well, there's always a break-in period.
KNIGHT: Just went right through.
MERLIN: I mean, it's supposed to give a little with the body.
KNIGHT: Right through.