The 52-year-old actress starred as Wanda, a colleague of FBI agent Sean Archer, in the 1997 action flick and she dubbed the 'Grease' star as a "modern day king" of Hollywood.
Margaret said: "There's not really American monarchy, but there is in Hollywood if you think about it, and he's sort of in the last era of the golden age of Hollywood. He's sort of the last movie star in a lot of ways.
"And so he had this sort of court around him of different people that he had worked with, his particular crew, whether they were his stand-ins or his stunt doubles or his crew that he would bring from movie to movie.
"So you would see sort of the skeletal remnants of different films he had done over the years, so that was really interesting. He was a really jovial guy, really fun."
Margaret also recalled the thrills of starring in Jon Woo's movie - which is set to be rebooted by director Adam Wingard - as they were able to perform stunts without the use of CGI technology.
She told Collider: "What a big production! I know that the film actually takes place over a week, but it took us almost a year to shoot. It was many, many, many stunts. They actually explode a plane, and they really did.
"This is like 90s action filmmaking where they could actually explode a plane without CGI. This is before so many of these things were created with CGI. We had none of that. We only had planes and explosives!"
Cho also remembers being invited to participate in a training camp and working with a stunt double of "physical perfection".
She said: "There was a lot of going to training camps where you would learn how to properly shoot a gun, properly look like you were in the FBI. And John Woo had a lot of input on making sure that actors were comfortable with how they were physically portraying these characters.
"You also had a stunt double that was pretty much the physical perfection version of yourself, which is really strange. So I had a stunt double, and I think John Travolta had like five or six of them, as did Nicolas Cage."
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