Continuity mistake: While directors certainly take their liberties with the military, is it reasonable to think that the security would be so lax at a government NBC (nuclear, biological, chemical) research laboratory that you could just kill two guards and walk in and open a cabinet and "hey, there's that super-secret, super-volatile weapon we've been looking for." The military takes their security far more seriously than Hollywood interprets it.
Factual error: Chill Factor takes place in Montana, at one point the characters argue over whether to go towards Billings or Missoula. Anyone who knows anything about the southwest U.S can see that most of the movie is filmed in or around Monument Valley. Monument Valley is spread across parts of northeast Arizona and southeast Utah.