Continuity mistake: When Gadget is driven to the TARDIS so the Doctor can retrieve it, the landscape around it is much flatter and without the large boulders strewn around the TARDIS when the Doctor arrived on Mars at the beginning. (00:52:41)
Continuity mistake: When the Doctor leans on the railing above the glacier while telling Adelaide about the Ice Warriors, he rests his left hand a ways out on the railing, in a spot where it should be visible but isn't in the next shot from behind him. (00:28:57)
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