Continuity mistake: When Pete Martell finds Laura Palmer's body, there is a piece of wood on the ground near Laura's head as he approaches her. It disappears between shots. (00:04:20)
Continuity mistake: When Lucy is badly explaining to Sheriff Harry Truman which phone she transferred the call to, in the window reflection, you can see the Sheriff moving around the office to find the phone. But in the close-up cutaways of Harry, he is standing in one place. (00:05:07)
Continuity mistake: During the barroom brawl, Bobby and Mike start fighting and Donna escapes out the back exit with one of the bikers. They leave on his motorcycle to meet James. Dale and Sheriff Harry are trailing them. Then a cut back to the barroom and Bobby and Mike are still fighting the bikers. However, if you look in the top right of the shot, you can see Donna and the biker still behind the bar, trying to leave. (01:19:13 - 01:19:50)
Continuity mistake: The credit has "Lucy Morgan." Later, her name becomes "Moran"; see the nameplate on the desk.
Continuity mistake: At about 23:21, Dale Cooper is writing on a chalkboard that has the letters R and T on it, not circled. Moments later, at 23:30, the letters are circled, even though Cooper has not marked the board. (00:23:20)
Suggested correction: Actually, there is a cutaway shot to the two policemen, and when the shot changes back to Cooper (with the letters now circled, as you say), he does have the chalk in his hand and then circles the "J." I think it's implied he circled the R and T in the cutaway. There was enough time.
Episode Five - S1-E5
Continuity mistake: When Leland Palmer suffers another mental breakdown during the party, Benjamin Horne tells Catherine Martell to dance with him, emphasising this by pointing his finger. The shot then cuts to Leland Palmer, and in the background, you can see Horne telling Martell again to dance with him. (00:39:57)