- Went to college with John Malkovich.
- Attended Illinois State University where he was among fellow actors Laurie Metcalf and John Malkovich.
- Gary has appeared in numerous award-winning productions in Chicago as well as off-Broadway in New York.
- Don Johnson & Philip Michael Thomas edged out Cole and Jimmy Smits for the roles of Crockett & Tubbs in Miami Vice (1984).
- Began acting as Snoopy in a high school production of You're a Good Man, Charlie Brown
- Daughter, Mary, diagnosed with autism at age 28 months. In 2007, at age 14, she is responding very well to education, treatment, and a special friend - a dog named Tattinger. Cole relates their experience in the anthological book, "Love Heels: Tales from Canine Companions for Independence." Although autism is not curable, it is very treatable, and Mary is, by all appearances, a normal child due to treatment, support, and the dedication of loving parents.
- Longtime friend of William Petersen.
- He has played both the President and Vice-President of the United States in different productions: President Mike Brady in The Brady Bunch in the White House (2002) and Vice-President Bob Russell in The West Wing (1999).
- Has a daughter with Teddi Siddall.
- In 1985, became a member of the Steppenwolf Theatre ensemble.
- Received the honor as being a Distinguished Alumnus at Rolling Meadows High School.
- He was nominated for a 1982 Joseph Jefferson Award for Actor in a Principal Role in a Play for "The Tooth of Crime" at the Remains Theatre in Chicago, Illinois.
- He was awarded the 1987 Joseph Jefferson Award for Actor in a Principal Role in a Play for "Bang" at the Steppenwolf Theatre in Chicago, Illinois.
- He was nominated for a 1981 Joseph Jefferson Award For Cameo Performance for his role in "The Magnolia Club" at the Novel Ventures Ltd. Theatre in Chicago, Illinois.
- Starred in the theatrical play "If All the Sky Were Paper" narrated by Garrett Schweighauser alongside Annette Bening, Laura Dern, Jim Beaver, Christopher Sweeney, and Michael Conner Humphreys.
- He was awarded the 1987 Joseph Jefferson Award for Actor in a Principal Role in a Play for "Bang" at the Steppenwolf Theatre Company in Chicago, Illinois.
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