The voice that you hear say "we want danger, give us the milk can escape." is the voice of Ron Howard's brother Clint Howard.
The two orphans in the episode are really Garry Marshall's own children.
In the opening shot, Ron Howard explains that "in this episode of Happy Days, there was no trick photography used. All magic feats were done live." This is a nod to The Magician (1973) starring Bill Bixby, and which bore a similar disclaimer in its opening titles. The Zig-Zag device seen in that classic cult series was also used in this sitcom, however its formerly bright red paint appeared faded here. Both shows were Paramount productions.
In the opening scene, the orphans (played by real life children of Garry Marshall) can be seen mouthing the other actors' lines. This was common practice for timing of delivering their own lines for kid actors years ago and can be seen frequently in classic sitcoms like Silver Spoons (Ricky Schroeder).
In the opening scene, Fonzie holds the radio mic like a woman the same way he did in season two's "Richie's Flip Side."