Continuity mistake: When Craig first discovers the portal door his crouching position changes slightly between the camera shot inside the tunnel and that from the office, and again when he closes the office door and goes back to the portal door.
Continuity mistake: Towards the end after Malkovich gets off the phone with Lester, who threatens him, he has hair over his eyes. In the shot through his eyes however there is no hair seen. When it shows his face again there is still hair.
Continuity mistake: When Craig and Maxine are speaking with their first client (the "Fatman"), Maxine has a clipboard with paper on top on the desk in front of her. When the shot changes, the blue clipboard is now at the top, neither Maxine nor Craig removed the paper.
Revealing mistake: At the end when Charlie Sheen is balding you see the edge of the silicone wig in the middle of his forehead. (01:41:05)
Continuity mistake: Before JM goes through his own portal, he puts on his baseball cap with the strap in the back open. Next he is seen crawling and the strap is closed. (01:06:35)
Revealing mistake: When Lotte and Maxine are hugging by the side of the New Jersey Turnpike at the end, the camera pans around them and you can see shadows of the cover and poles holding it to protect them from the rain.Also at one point a large amount of water falls down which obviously pours off the cover.
Continuity mistake: When Malkovich is in the bar at the end he puts his glass on his lap.In the next shot it's on the counter.Then in the next shot it's switched from his left hand to his right.
Continuity mistake: Before, during and shortly after his dance JM has a very visible lipstick mark on his cheek. At the end of the scene the mark disappears, then comes back, and then goes again. (01:21:35)
Plot hole: The timing in the film is way off. Given the hours when JM Inc is open, most of the people there would only get to be Malkovich while he was asleep (yes, films have late-night shootings, but not every night); and Craig and Maxine stay up the whole time, then mess with Malkovich afterwards, then get in for work the following morning without showing any sign of fatigue even though there are less than 2 hours left for sleep.
Continuity mistake: When Malkovich is in the bar at the end he has a glass full of black liquid. When the shot changes to through his eyes he has a very shallow amount of reddish liquid. In the next shot he has a half full glass of black liquid.
Revealing mistake: When Craig (in John) is doing his dance of 'Despair and Disillusion' you can see the stunt double several times. The most blatant are when he jumps to the wall and lands in a press-up, when he does a forward roll, when he backflips and also when he slides against the wall at the end of the dance.
Continuity mistake: The comforter changes patterns in the first scene as the camera switches back and forth to Craig in bed. (00:03:30)
Continuity mistake: At the beginning of the chase through JM's subconscious when Maxine enters the portal her hands are tied. When she lands in someone's bedroom her hands are free. (01:34:40)
Continuity mistake: During his dance JM has a blanket wrapped around his hips. When he joins Maxine on the bed the blanket is suddenly wrapped around his upper body. (01:21:45)
Visible crew/equipment: When Elijah starts to untie Lotte in the cage, a grey mic is visible in front of her face as she is turning her head.
Continuity mistake: When Craig makes JM dance for Maxine look at the big white lamp in the background. It changes between standing up and lying on the floor several times. (01:20:00)
Continuity mistake: When Craig goes up the elevator of the Mertin-Flemmer building the collar of his jacket changes between folded up and down several times. (00:07:35)
Continuity mistake: Towards the end of the scene where Maxine is on the floor of her office and Craig is on the windowsill arguing with her, Maxine's hand goes from resting on her knee to on the ground between shots.
Continuity mistake: When Lotte and the chimpanzee get out of the cage there is a rather crumpled black-and-white blanket at the cage door. In the next shot the blanket is stretched out very neatly. (01:12:45)
Continuity mistake: When Craig talks to Maxine in the little pantry on the 7 1/2th floor the way he holds his cup of coffee (both hands around the cup or one hand at the edge of the counter) changes several times. (00:16:10)
Answer: It IS from Brazil. The song is called Brazil, performed by Geoff Muldaur.