An establishing shot for the early warning station shows three very large white geodesic spheres. Those are the radomes at the RAF Flyingdales station. These fiberglass spheres protected radar antennae from the weather without blocking radio waves. At the time this episode was made, the massive radomes were new and shockingly high-tech.
Filming locations included the Stapleford Miniature Railway. A plaque was placed there that reads: "Miss Diana Rigg was strapped to the rails at this spot on the 4th of April, 1965, during the making of a film for The Avengers."
Sir Horace Winslip's accent is very plummy when he gives the name of his little train, "John of Gaunt" (not "John Galt"). This John (1340-1399), Duke of Lancaster and the richest man in England, was the third son of King Edward III; father of Henry IV of England, grandfather of Edward of Portugal and John II of Castile, great-grandfather of James II of Scotland, and ancestor of their successors ever since.
Steven Berkoff did some of his own stunts during the train fight, when he's jumping on and off the train.
To the right of Platform 2's gate is a poster for Carter's Little Liver Pills. This patent medicine (good for torpid liver, sick headache and catarrh) in reality it was just a laxative. The product and its advertisements were ubiquitous from about 1870 untill it fell from favor in the 1960s.