Continuity mistake: During the final shootout, when Ritchie comes down the stairs, there is one too few bullets fired for the hits on the walls.
Other mistake: In the scene where Pat walks into the empty bar, (just after Terry leaves), he shoots the owner several times. The first shot shatters the bat the owner is holding. The next couple shots hit the owner and he begins to fall, holding a bat. Fully intact.
Other mistake: Noonan is supposed to be a New York cop. When he hands Frankie his badge it says Boston police.
Continuity mistake: When Terry enters Kathleen's apartment for the last time (the scene with Robin Wright in a towel, late in the movie) he barges through the door, and both go to another room, not shutting the door. Later in the scene when Kathleen goes to leave, the door is closed.