Continuity mistake: When Lamont and Margo are in the middle of the street checking out of the empty lot where Cranston sees the Hotel Monolith, a light gray sedan behind him disappears and reappears as the scene changes.
Continuity mistake: When Cranston telepathically calls Margo at the Assessor's office, the overhead view of her shows her being thrown back a ways from the open ledger on the desk, but the next level shot shows her much closer to the open ledger.
Audio problem: When Farley traps The Shadow in the water tank, he declares that "I'm going to be a king! A king!" He says the second "A king!" without moving his mouth.
Continuity mistake: The second time in the Cobalt Club, Margo comes over to the table and sits down. As they talk, Wainwright puts down the Martini, and has his hand on the glass. Then in closeup, his hand is up with a fork. Cut to a shot of Margo, he's sipping the martini. He calls for the waiter, he's putting down the empty glass. Cut back to her, he's putting down the glass again.
Character mistake: Shiwan Khan uses mind control to make Nelson commit suicide. Later, when Lamont is talking to one of his agents, the agent talks about a murder at the museum.
Revealing mistake: The first time at the Cobalt Club, Wainwright gets a report of the Shadow, and plans a task force. Lamont's face goes dark, and he makes Wainwright forget about the Shadow. After the matter is forgotten, Lamont's face lightens, and you hear the chair he's in creak, giving away that he leaned back out of the light to make the illusion.
Answer: In the comics he was a tall, thin man with a large hook nose, sort of like "Sherlock Holmes." When the movie was cast, they thought of altering Alec Baldwin's face for the role, but decided that all those prosthetics would make him unrecognizable, so it was decided he would morph into the original character, when using his "Shadow" power. The same thing was decided when Warren Beatty was cast as "Dick Tracy."