When Evan is in jail with the religious prisoner trying to get him to help him get his journals back he goes to the scene where he is drawing that homicidal picture in kindergarten, but he gets up and puts the spikes that holds documents through his hands, creating a stigmata-style scar. The religious guy in the cell with him is so amazed because of this he thinks Evan is a prophet and he decides to help him. If Evan had gone back in time and got those scars on his hands, he would have changed the original timeline and would have arrived in jail with those scars the whole time. Some people try to correct this using the "If I can create scars, then can I fix them?" statement Evan made to defend the mistake and suggest he can create instant scars but he was using the word "scars" to refer to the negative events; not literal scars on his body. The scar he got when he burned himself in the past didn’t magically appear on him the moment he returned from the past; it became part of a new, slightly altered timeline (just like the scars on his hands should have been) and it let him know he can change history.
An alternate ending to the film has Evan going back to when he was in the womb and killing himself by squeezing the umbilical cord to save his friends from events he may cause. On the DVD Director's cut.