Deliberate mistake: Even though the movie uses the correct number of rockets, the timing is awful. The last rocket was fired at 1:40 AM at the latest. In the movie, the last rocket is fired when the last boat to be lowered on the davits leaves (the one Rose gets, and jumps off of). This would make it 2:05 in James Cameron's Titanic time. It was probably changed to add more drama to that heart-throbbing scene...
Factual error: Rose takes the elevator down to rescue Jack. When the operator goes back up, the elevator moves when the gates are still open. In reality, the gates had to be closed before the elevator car could move.
Continuity mistake: When the band goes out on deck to play as the ship is sinking all they have on is their uniforms. They are seen this way a few times, in the last shot of the band they all have on overcoats.
Revealing mistake: If you look at the deck planks to the right of Rose and Jack you can see that there is something that runs perpendicular to the rest of the planks. This wasn't on the real Titanic. This is where the set was "cut" so that the front half could be sunk into the tank later on in the film.
Factual error: Professional Radio Operators hold the key used for Morse code between their thumb and two fingers - they don't tap it, as was shown. Tapping would produce a harsh voice in Morse code.
Continuity mistake: When the captain looks at the bridge sinking, the water level is by the middle of the helm wheel. In the next shot, from the other entrance, the level is lower than that, and in the next it's again by the middle of the wheel, which is also turned to a different position.