Through out the whole movie, all of the laser guns have the exact same sound effect as the gun Iron Man shoots out of his hands. See more...
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Deliberate "mistake": In the scene where they break into the train from its roof, you can notice that despite the high speed and the consistent wind, Captain America's fellows have no difficulties in running, standing up still, and even jumping, like they felt no air resistance. Moreover, you can see that their hair is not moving at all, completely missing to realize any "windy" effect.
Factual error: In the scene at the World Expo, the flags are being displayed. Next to the US flag is the Bahamian flag. The Bahamas didn't have a flag until 1973 when it gained its independence. It used the British Flag or the "Union Jack" since it was still a part of Britain. Also, the flag disappears a few seconds later.
Continuity: In the opening shot of the shield beneath the ice, we get a very good glimpse of the center star and a good portion of the area around it, and it appears to be clean. At the end of the film, however, all glimpses of the shield during the battle on the plane, minutes before it crashes, shows significant scuffing and discoloration of the paint, to the point where there's no way to rotate the shield to a point where a significant mark wouldn't have been visible in that original ice shot. There's a good shot of the marked shield at 1:41:03 after it's knocked away from the Captain before he is ejected from the plane with one of the drones.