Character mistake: Scully continually addresses the senior police officer as "Captain." But he wears sergeant's stripes. As a law enforcement officer continually dealing with other law enforcement officers, Scully is not likely to make this mistake. More likely a failure to match script with costume.
Factual error: When Mulder is walking out of the cabin in Spender's uniform, the soldiers try to stop him. This is impossible since he is an officer (a lieutenant judging from the shoulder-straps) and they are privates, so they cannot give him orders. The only thing they can do in this situation is to salute him. (00:08:40)
Factual error: The alternate version of Scully is identified as an OSS agent, but the OSS did not exist in 1939. (00:34:35)
Continuity mistake: When the craft is flying over Scully, Mulder, and Morris Fletcher, in the first shot Fletcher stands with his back turned to the agents, but in the next shot he is facing them. (00:03:10)
Continuity mistake: When Jeff is shown for the first time inside the car, we can see that Mulder's face is facing the windshield, but in previous and next shots he is turned toward his colleagues. (00:05:25)
Visible crew/equipment: When Mulder is driving away from the gas station, crew members as well as some filming equipment can be seen reflected in the car's body. Mulder is in a pretty desolate area, so seeing people reflected in the car's body would in all likelihood be crew members and not random citizens. (00:28:30)
Revealing mistake: When Mulder - whilst trapped in the body of Morris Fletcher - is doing various poses in front of the mirror, several of his movements and the corresponding movements from the realized reflection of Morris Fletcher are slightly out of sync with each other.
Other mistake: When Morris Fletcher walks into the bar, in the first mirror reflection Mulder and Fletcher are walking together (Mulder followed by Fletcher) for a short but noticeable moment. (00:16:50)
Continuity mistake: During the conversation with Scully regarding Wayne Weinsider, Mulder says "I don't know why. I'm not a psychologist", which must be a big surprise for all viewers, to say the least. Mulder graduated from Oxford University with a Bachelor of Arts degree in Psychology (e.g. "Dreamland II") and he worked for some time as a profiler for the FBI (e.g. "Young at Heart"). (00:32:25)
Continuity mistake: When the rain starts to fall, Daryl opens the window and reaches out his left hand. However, in the next shot facing the windscreen he holds the steering wheel with both his hands. (00:03:05)
Continuity mistake: When Skinner enters the embassy garage, the rear left window of his car is closed, but after the shot of the Tunisian diplomat the window suddenly becomes open. (00:21:30)
Visible crew/equipment: When the Senator opens his car doors, a filming crew member in blue jeans is reflected in the door. (00:32:25)
Continuity mistake: When Dr Cabrera says "Let him go," the blonde female assistant is on the left of the male assistant, but in the next shot she is on his right. (00:39:30)
Continuity mistake: Malcolm Wiggins stabs Alfred Fellig in the back three times, including once in the middle of his back to the right of his spine. However, when Scully is examining Fellig's back later in the episode, he has at least six stab wounds, and all of them are around his shoulder blades. (00:13:30 - 00:18:00)
Factual error: Lewis Brady had a "Felon wanted by the FBI" file in 1929, but the FBI wasn't called the FBI until 1935; until then it was just the "Bureau of Investigation." (00:34:30)
Audio problem: Fellig is confronted by the murderer and you can hear the sound of a switchblade knife opening. When the knife is shown in Fellig's back and later in the evidence bag, however, it is a butterfly knife and not a switchblade.
Continuity mistake: When doctors make a cut on Cassandra's belly, the green substance comes out of the cut and pours down directly onto the piece of blue cloth she is covered with. In the next shot the fragment of cloth that was in contact with the substance is dry, but in the following shot, there is a large soaked stain on the piece of cloth. (00:00:50)
Plot hole: It is virtually impossible that such a conspiracy-experienced, cautious, and wise person as the Second Elder would be so naive and careless to just let the "Dr. Openshaw" faceless alien to his house, knowing from the CSM that Dr. Openshaw had died that evening. (00:15:10)
Plot hole: Agent Spender watches in horror as Alex Krycek stabs the neck of an alien directly in front of him and the usual bubbling green blood spills out. In every other instance of a human being in such close proximity to the green blood, the person has immediately taken a painful reaction to the substance, including severe damage to the eyes. Spender however is completely unaffected, as is Krycek, who was also close enough to feel the effects.
Suggested correction: The Syndicate is well aware of the effects that the alien blood has on humans and the inherent risk of being exposed to it. They would have inoculated Spender and Krycek in preparation for this.
There was no inoculation ever mentioned to counter the effect of the acidic blood. Also, Spender wouldn't have let someone randomly inject him with something with no explanation, it would be completely out of character, and he was surprised at what happened.
Suggested correction: I think that this is to do with where he is hit. I don't recall anyone suffering the toxic effects when the weak spot at the back of the neck is successfully hit with the spike weapon. When Mulder tried to kill the alien bounty hunter (think it was in Colony?) He missed the weak spot, which is why the blood had an effect on him and the bounty hunter survived.