Correction, Michael Madsen was Oliver Stone's first choice,
however, Warner Brothers wanted a more well-known actor to play the
part of Mickey Knox and Stone chose Woody Harrelson.
I dont think any actors did!
Woody was asked by Oliver to play the part of Mickey.
Actually, Michael Madsen was considered for the role of Mickey
Knox but was turned down under the suggestion of Quentin
Tarantino.