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And the music video for Fat, the original song by Weird Al that he parodied, was actually directed by his brother Muffin Scorsese
And it was made at the same location as Bad. And this is a real Weird Al fact for a change.
Iirc, Al actually asked for permission to make them parody, as he does, and Michael answered something like “the original set is still intact, would you like to use it”.