Continuity mistake: The second time in the Cobalt Club, Margo comes over to the table and sits down. As they talk, Wainwright puts down the Martini, and has his hand on the glass. Then in closeup, his hand is up with a fork. Cut to a shot of Margo, he's sipping the martini. He calls for the waiter, he's putting down the empty glass. Cut back to her, he's putting down the glass again.
Factual error: In the water tank sequence, Lamont takes a breath through one of the bullet holes. At more than five feet below the surface of water, the human diaphragm cannot push against the water pressure surrounding the chest, making it impossible to take a breath normally. Lamont should not have been able to draw breath at that depth.
Revealing mistake: The first time at the Cobalt Club, Wainwright gets a report of the Shadow, and plans a task force. Lamont's face goes dark, and he makes Wainwright forget about the Shadow. After the matter is forgotten, Lamont's face lightens, and you hear the chair he's in creak, giving away that he leaned back out of the light to make the illusion.