Revealing mistake: During the scene where Ron is playing the jazz flute, as he blows the flame out of the flute, you can see a hose running from out of his sleeve and into the flute, most likely supplying gas for the flame. In both shots of the flame, the hose can be seen.
Revealing mistake: In the shot of the bears returning to the cave, one can see a thin piece of string/fishing line tied to a rock on the left side of the screen and stretched across to the other side.
Revealing mistake: In the brawl, where the horsemen are coming after Brian, look at the two newsmen behind him. One rears back without getting hit, then the one he's fighting falls on the ground like he got hit without actually getting hit.
Revealing mistake: Near the end of the film when the channel four news team is down in the bear pit, Luke Wilson is reporting on the drama at the top of the pit as it unfolds; during which one of the bears reaches up out of the pit to grab Luke Wilson's remaining arm. Just before the bear rips his arm off, you can see the line at which a fake arm is connected to his suit. It's also very obvious that the hand holding the microphone is fake as well.
Answer: They're messing around. Will Ferrell and director Adam McKay are great friends. They wrote the screenplay for Anchorman together and are currently working together again on an as of yet untitled comedy about NASCAR which is due in 2006.