Continuity mistake: There are two actresses playing Dorothy (and two dogs playing Toto) as she opens the door to Oz. The first is a stand-in wearing a dull colored dress in order to make it look black and white. After she opens the door and moves out of the way, Judy Garland is who we actually see walking through. Look at the different pleats on the two dresses. (00:19:25)
Continuity mistake: As Dorothy and the rest are chased by the flying monkeys the order of the four changes between shots each time we see them in the overhead shots. (01:15:10)
Continuity mistake: Just before getting crushed by the candle chandelier, the position the Witch's Guards are standing changes between shots. In one shot they're all standing apart, but in the very next shot, they all huddled together in one big group. (01:21:15)
Continuity mistake: When Dorothy runs to the back of the house during the storm the field in the background is not the same as we saw a few shots earlier as Aunt Em calls for her. (00:15:35 - 00:16:45)
Continuity mistake: The Scarecrow is in the lead as the four run away from the guards and enter the tower where the Wicked Witch is eventually melted. In the next shot the Tin Man is in front. (01:25:35)
Continuity mistake: When Dorothy walks up to the apple tree, the apple that she picks off of it, in the next shot is not there and after she picks the apple the remaining apples above her head disappear in the next few shots without being touched. (00:39:30)
Continuity mistake: After the Tin man opens the door with his axe chopping its wood, Dorothy steps out and the door is totally fixed.
Continuity mistake: When Dorothy first walks on the pig sty the piece of wire that tangles around her foot is dead center right between the two fence posts. When we eventually see her fall in, the wire has been moved about a foot to the right. (00:04:00)
Continuity mistake: Before they meet the Cowardly Lion, Dorothy starts to say "Lions and Tigers and Bears" and the axe jumps from the Tin Man's left hand to his right between shots. (00:48:20)
Continuity mistake: When Dorothy walks on the pig sty Zeke walks to his right, looks into, than passes the bucket on the right because it's empty. He then picks up the bucket behind it on the bench and proceeds to feed the pigs. He empties the first bucket then picks up the second empty bucket, which is now three quarters full. (00:03:55)
Continuity mistake: When the Lion, the Scarecrow, and the Tin Man are chopping down the witch's door to free Dorothy before the hourglass runs out, they are dressed in the guards' uniforms. We see the axe hit the door, and in the next wide shot they are not in the uniforms. There is a slight view of the uniforms in a pile on the floor, as if the trio had changed out of them between axe blows. (01:24:00)
Continuity mistake: Before the four go in to see the Wizard, and as they speak to him, Toto jumps from right to left between shots several times. (01:09:35)
Continuity mistake: When Dorothy first walks around Munchkinland, the bright ruby slippers are seen sticking out under the right window of the house. Later when the Munchkins come out we see the same spot again and the slippers aren't there. (00:20:40 - 00:23:15)
Continuity mistake: The bows in Dorothy's hair are tied differently throughout the scene with Glinda the witch in Munchkinland. (00:19:40 - 00:21:30)
Continuity mistake: The Wizard shouts, "I can't come back I don't know how it works" and the Scarecrow is on Dorothy's left. In the next shot he's on her right. (01:35:10)
Continuity mistake: In the beginning of the movie Miss Gulch parks her bike on the fence in front of the Gale's house and it's obvious that the fence continues in the same direction past the gate. When Dorothy comes back during the storm the fence now curves around right after the gate. (00:08:15 - 00:15:25)
Continuity mistake: As they enter the scene with the Cowardly Lion, the Scarecrow falls and then jumps over a patch of weeds growing in the middle of the Yellow Brick Road. In the next shot he does the exact same thing only about three feet behind the patch of weeds that he jumped over before. (00:48:00)
Continuity mistake: At the Witch's door the Tin Man is not the wearing his metal suit underneath the guards clothing. Look at his waist. (01:23:30)
Continuity mistake: When the Wicked Witch Tries to take the Ruby slippers from Dorothy it's obvious in the shot from behind that her right sock is pulled higher than her left. In the next shot they're both even. (01:16:50)
Continuity mistake: The Wicked Witch enters the tower and says, "Ring around the Rosie" and the broom in her hands changes between shots. The one she sticks in the fire is different. (01:26:00)
Answer: In the film it's left ambiguous. At the end it's strongly implied that she was dreaming. The characters she meets all look like people she actually knows. In the original book, she actually went to Oz.