Funny enough, the real Spanish Inquisition notified its intended victims well in advance to give them time to get their affairs in order. So, in actual fact, EVERYBODY expected the Spanish Inquisition!
The end of the episode marks the series's first use of the musical piece "The Devil's Galop" composed by Charles Williams, which would subsequently be used for chase scenes throughout the show's run. The piece was originally the theme for the BBC radio series Dick Barton - Special Agent, which was a particular favorite of the young John Lennon.
Terry Gilliam, as Cardinal Fang of the Spanish Inquisition, carries a copy of The Encyclopedia of Witchcraft and Demonology tucked in his arm.
Michael Palin was the one who penned the line "I didn't expect the Spanish Inquisition" and it was the genesis of the persistent sketch. The trio of omnipresent, but not terribly threatening, Spanish Catholic Cardinals appeared seven times throughout this episode.
Some of the semaphore signals come close to reality. The sleeping old man does indeed make the sign for Z, and the governess shushing the baby is making the sign for S.