Continuity mistake: When the T-850 tosses John off the hood where he was pinned down, the hood is undamaged. When the 850 started to beat on the truck, it was already damaged before he started.
Continuity mistake: As Catherine grabs a pistol and shouts "Outta my way!", the Terminator stands up, with his left quarter profile towards her. After a cut to her, then back, his position changes to right quarter profile forward. (00:51:05)
Continuity mistake: When John is in the cage Kate threw him in, they hear a crash, and he starts to sit up. The next second, his left arm is suddenly along the side of the cage.
Continuity mistake: When the TX is driven into the wall at the vet clinic the parked car gets knocked into the gas tanks and there's a massive explosion. A few scenes later the TX drives the crane out of the yard where the gas tanks were. The crane is in pristine condition and showing no damage from the explosion, despite being parked behind the gas tanks.
Continuity mistake: When John, Kate, and the Terminator arrive at the crypt we get a close-up of the memorial plaque. There is a visible seam or crack in the marble that runs behind the plaque and there are no other seams or cracks visible for several inches all around the plaque. Right before the Terminator punches through the marble, you can see that there is now a seam or crack in the marble just above the plaque, and nothing running behind it.
Continuity mistake: When Arnie is carrying the coffin full of weapons from the mausoleum he has the coffin on one shoulder, then in the next shot he is carrying it on the other one.
Continuity mistake: In the scene when the TX, disguised as Kate's fiance, is in a car with the two policemen on their way to find Kate, the TX kills the police officer who is driving by sticking its hand through his chest. His partner sitting in the passenger seat immediately reaches for his gun, causing his seatbelt to slide off his right shoulder. Cut to a shot from behind him and the seatbelt is back on the same shoulder. (00:52:55)
Continuity mistake: At first, the color of the steering wheel of the police car (the one taking the TX disguised as Kate's fiance) is grey. In a close-up shot of the police officer looking at the TX's arm sticking through his chest, the wheel is now light brown. (00:52:50)
Answer: He was originally in talks - and by some reports, did appear on set for some period of time. While factual answers are in short supply (for obvious reasons), there appears to be a connection to his drug-use habits. For instance, he was checked into a hospital (LA Cedars Sinai) for what friends feared was a drug overdose in April 2001, and has been in and out of rehab over the years. Chances are the production company was unable or unwilling to get completion insurance.
Rooster of Doom