Continuity mistake: When Chet and Stanley asks Irene some questions (in the café, about 15 minutes into the movie) about the murder, the cigarette Irene smokes changes a few times between the shots. Most obvious is the length of the ashes. (00:16:13)
Continuity mistake: When Ronnette and Laura are in the cabin with Jacques and Leo, Ronnette is wearing sheer pantyhose - her legs shine in the available light - and this is more obvious when Jacques cops a feel of her legs. The last time we see her in the movie she drops out of the train car, still wearing them. (This happens 8 minutes from the ending credits.) But when she was first shown in the series "Twin Peaks" (we see her walking on the train track) she was not wearing pantyhose.