Continuity mistake: In Sky captain's office, when he agrees that Polly travels with him, his head swaps positions depending if it's a front or back angle.
Revealing mistake: In the final scene when the escape pods land in the water, it's visible that the splash consists of large drops, which would never appear in normal conditions but is easier to do as a digital effect.
Factual error: At the end of the movie, when the rocket launches with Gwyneth Paltrow and Jude Law aboard, they don't seem to be subject to the acceleration of the rocket and walk around freely.
Continuity mistake: When Sky Captain and Polly go visit Dr. Jennings, it is pouring down rain, but when they enter his basement laboratory both of them are completely dry. Granted, they were only exposed to the rain for a few seconds in the distance from the car to the building, but they would still have gotten least a little wet.
Continuity mistake: When Joe and Polly are running on the tree trunk, Joe loses his gun but it is a completely different one when we see it falling.
Deliberate mistake: In several scenes, Sky Captain chases the enemy through the streets of New York. At even the slowest speeds to maintain flight, the hairpin turns around street corners would generate forces equivalent to 15 to 20 times the force of gravity. Even if the aircraft could survive these forces, the pilot and passenger could not.
Factual error: When Polly Perkins goes to Sky Captain's headquarters, she promises not to take any pictures without his permission, then proceeds to take a picture, holding her camera behind her. Before you can take a picture with an Argus 35mm camera, which is what she has, you first need to flip down a lever on the front of the camera that "cocks" the shutter. When you trip the shutter, the lever flips back up. But when Polly takes the picture, you hear the shutter "click", but the lever doesn't flip up.
Chosen answer: About 95% is CGI. The only real part of the movie was the actors themselves (and small objects they handle), with the exception of Dr. Totenkopf, portrayed using archive footage of Laurence Olivier. Everything else was CGI.
Guy