Though he seemed cool under fire—literally—Anderson admits it wasn't quite as it looked. "I was setting the camera on a tripod because I used to travel by myself. I heard this crack go off in my ear and I'm like, 'Man, what is that? What was that?' Then I see this little puff of smoke on a column nearby and I realize someone has just taken a shot. I was like, 'Oh, my God. That was a bullet!"