Some interesting factoids about the movie, having seen it, and having lived in Ottawa:
The cathedral at the beginning is the Catholic Cathedral on Sparks Street. Scenes involving Alban (played by Glen, whose red mohawk and leather jacket have been a familiar sight in the Ottawa area since the mid 80s) and the other priests take place there and the War Memorial and National Art Gallery across the road from said cathedral. The interesting thing about that place is that it was built when Ottawa was known as Bytown, and the women of the community actually donated their wedding rings and any jewellery they had to provide the gold to gild the statues of the saints. Should you go further down Sussex Drive you will arrive at the Prime Minister's official residence and the French Embassy.
If you head into downtown from there, within five minutes you will pass the Dominion Tavern (the bar in which Jesus scats, followed by drumming), and then Allegro in the Byward market (which started out in the 80s on the third floor of what is now the parking garage across from The Bay in the Rideau Center). Just next to the corner of Dalhousie and Rideau, about two blocks away, is the piercing place where Jesus gets his ears pierced. The Dominion is a great dive. Just avoid their pickled eggs. Noone is for sure how old the damn things are.
The driving scenes appear to be shot in the Glebe, which is south of the downtown core.
The "third lesbian vampire", the one who is thrown into the Blessed Lake by Jesus using her arm and foot, is Thetis Bernard. She ended up being rather infamous in the early 90s after writing a school assignment that was misinterpreted as being sympathetic to the views of David Irvin. She also appears to have since become a part-time professional wrestler.
Johnny Vegas is featured in the Dominion Tavern scene: this is the lounge singer who really is a fixture on the Ottawa scene as a lounge singer.
The "lesbian drop in center" is actually attached to the University of Ottawa as their student center. It is next to the Rideau Center. The scene in which Jesus dances across a road with some attractive buildings in the back are actually next to that drop in center, and close to the old Jail, which is now a youth hostel. It's more than a mile from Sparks Street, which is where the rest of the musical scene is filmed. This was the site of the political assassination of Thomas D'Arcy McGee.
One of the bands featured in the movie is Furnaceface, most of which was Fluid Waffle in the 80s. They got into some bad controversy when they had friends of theirs show up to a photo shoot for the local newspaper pretending to be them. They did it to mock the corporate newspaper pretending an interest in the local music scene.
Many of the shots of the sunrise at the beginning appear to have been shot in the West End of Ottawa, far away from the downtown core in which most of the movie was shot.
As for the airport in which Santos lands - it appears to be the Rockcliffe Air Base, a small airport next to the Aviation museum and right alongside the military base in Ottawa.
I have no idea who the Rasputin-like character is at the beginning, but I do believe, if I am correct, that he was once known as "Deep Fish" on WWIV in the Montreal area.