In order to capture scenes in the snow, filming began in Alaska on April 15, 2006. The crew would eventually make four trips there, trying to depict each season McCandless experienced. In between, they shot at 35 other locations in the U.S. and Mexico. The quest for authenticity led to some risky moments, especially for Hirsch.

PENN: For the winter scenes, the snow made it easier. The bus location was at the end of a paved road, then three miles of dirt road and then another mile snowmobile in. Then we had to cross a river. It was rough terrain, and sometimes when we finished shooting it was pitch black. We had our fair share of accidents, but no one got hurt.

POHLAD: Yeah, it was a nightmare. Where we ended up was a major undertaking. Then you would have thought it would have gotten better [after the snow melted], but it was worse.

PENN: When we went back in May to do the second shoot, the river was totally uncrossable and snowmobiles weren't really an option anymore. We had to build a crude bridge. Finally, the fourth time we went back, the river was so high it was threatening the bridge. That got exciting. [We] cut a tributary, and that helped ease the pressure a little. But every day we were just sort of giggling and hoping.

HIRSCH: In the very beginning, we shot the scene where McCandless gets dropped off in Alaska by Jim Gallien. Sean used the real Jim Gallien in the movie. Jim had a gold watch that McCandless had given him, and he said to me, "I think you should have it." And I wore the gold watch the whole time on the adventure. I felt like it kind of protected me. I was in situations constantly where I could get seriously hurt—if not die—if I lost concentration.

PENN: It was a constant worry. Every day was one hand held out protectively and the other crossing its fingers. Emile is a phenomenon of balance, though, and you see it on film with things that weren't rehearsed.

HIRSCH: It was such a big adventure. You know, jumping off a cliff into the Colorado River one day with Sean yelling "Action!" behind me, to running with wild horses, to kayaking through rapids in the Grand Canyon, to climbing up steep, snowy mountains in Alaska and worrying that I'd roll 200 feet down this hill, to a grizzly bear walking right up to me for a shot and doing it 12 times, to being in South Dakota and driving a tractor, to walking around Skid Row in L.A. with all the junkies trying to get money from me. I saw this slice of America that was unforgettable.