In David Cross' room, next to the TV in the pile of videos, is a copy of the original Men in Black movie from 1997. See more...
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Deliberate "mistake": When MIB agents exit the lift to get into the main hall of the MIB Office, the lift opens halfway up the wall and they need to go down a little platform. But when K and J return during the lockdown and face the trashcan with guns, the lift opens at floor level, so it can be conveniently peppered with bullets.
Continuity: In the scene at the lockers in Grand Central Station, Agent Kay takes his watch, an illuminated Hamilton digital, back from the little animals living there. In one shot, Agent Jay puts an analogue watch in the locker as a replacement, but in the next shot it is the same old Hamilton digital owned by Agent Jay. (This is mentioned in the DVD Audio Comentary with Barry Sonnefeld.)