I heard an interview that Terry Gross had Sasha Baron Cohen. I'm sure it's available on an NPR archive and I know it's at audible.com if anyone's interested. He's answers many of these questions. It's also kind of fun to hear how much of a fan Terry Gross is.
If you take him at his word, almost nothing in the movie was "faked." The only person, outside production, who knew what was going on was Pam Anderson. Even at that convention none of the other conventioneers (or security, I believe) knew what was up. He considers that the most dangerous "stunt" in the movie.
He came very close to being arrested many times. The police were called over 20 times during production. There were plans in place to put other people "between" Cohen and the police so that other productions members would be arrested instead of the main actor. Law enforcement in several areas (including the FBI, as I remember) became aware of what was going on, forcing them to change locations.
Things were scripted to the extent that they were plan, and locations were sited extensively by production before Cohen came on scene. For example, the antique shop was sited out, every move and fall was preplanned, and the broken items were payed for off camera.
It's a really interstesting interview for folks interested in how the movie worked. I found the movie alternately hilarious and very uncomfortable. I didn't find it a bit antisemetic (I'm Jewish), but, I knew Cohen was Jewish, so I interpreted it as extremely satiric and mocking of antisemetism. The interview with the gun shop owner, for example, went on much longer than was shown in the movie. It's actually chilling to learn how far he went in going along with Cohen's antisemetism.