Factual error: The Koh-i-Noor, as depicted in this episode, looks absolutely nothing like the real diamond. The episode's gemstone is about the size of the palm of the Doctor's hand, and shaped in a stereotypical brilliant cut. The real Koh-i-Noor is much smaller and oval-shaped.
Character mistake: When the Doctor and Rose are walking back to the TARDIS at the end, he explains to her that Queen Victoria was hemophiliac. She wasn't. She was a carrier of the disease due to a mutation in one of her parents' reproductive cells (probably her father, Edward, Duke of Kent, because he was in his fifties when Victoria was born), but since she only had it in one of her X chromosomes, she didn't actually suffer from it as the gene for it is recessive, which is why most hemophiliacs are male. It is true that several of her children inherited the gene, and one of her sons was hemophiliac, but not Victoria herself. (00:40:55)
Chosen answer: The Master knows that deep down, he deserves death for the crimes that he's committed throughout his life, and since he regards The Doctor as his arch-foe, he expects it to be at his hands. The fact that The Doctor is still willing to forgive him for all of his crimes hurts him more deeply than death would.
Captain Defenestrator