Continuity mistake: When the tank has driven down the tunnel, it emerges and destroys a good section of the building, including a window. When the trucks come through a few seconds later the damage is a lot less and the window has reappeared. (01:18:45)

Continuity mistake: When Bond throws his gun on the bench in the sauna, the barrel is facing away from the towel. When Bond goes to get it a few moments later and Ontopov attacks him, the barrel is now facing the towel. (01:02:20)

Continuity mistake: When Q goes to pick up the plane ticket off the X-ray document scanner, the envelope is perched on the lip of the tray. When the camera cuts to an extreme close up the envelope is flat on the tray. (00:49:40)
Continuity mistake: When we see the band preforming in the square in St. Petersberg, there is a shot of them marching left to right. And by the band is a big crowd of people watching them. When the camera changes to Mishkin's office, the crowd has disappeared. (00:47:50)
Continuity mistake: When the Naval officer is giving his speech about the Tiger helicopter, a row boat starts to pass the warship. Camera cuts and now this rowboat is about to start passing the warship again. This cannot be attributed to the change in angle. (00:25:50)

Continuity mistake: As Bond drives over the jeeps and police cars one of the flaps on the tanks gets damaged. It is then back in one piece in the next shot. This is not to be confused with when one flap goes missing. (01:20:50)
Continuity mistake: As Oumarov encounters the roadblock there is a silver car that breaks halfway out of a junction. When Oumarov goes past, this car has vanished. (01:18:25)

Continuity mistake: In the tank chase it is made very clear Bond is stood through the hatch while driving, However in some shots, he's not visible, but appears an instant later. (01:18:00)
Continuity mistake: When Bond is on the yacht and the guy in the red and blue striped shirt tries to attack him, he wraps a towel round the attacker's head, over the eyes. However when we see Bond throw the attacker the towel is now down round his neck. (00:24:00)
Continuity mistake: When James and Alec emerge from the hallway floor, James backs into the wall with a straight back and his pistol right by his face. Camera cuts and his body position and the position of the gun have changed. (00:04:40)

Continuity mistake: When Xenia is crushed to death in the crotch of a tree by her safety harness, her head is looking down. When Bond and Natalya look at the dead Xenia after the helicopter explosion, her head is now looking up. (01:40:00)
Chosen answer: The real answer, which I believe was explained better in the game or in special features. Regardless, I did hear, is that Ourumov wasn't aiming directly at Alec's head, but to the side and shot the ground behind him. But made it look like he shot him in the head. Alec would have felt the bullet whiz by him.
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That makes more sense.
Ssiscool
It has been a while since I watched the movie, and my copy is a VHS... but I believe if you watch very closely you can actually see the bullet hit the ground behind him with a tile breaking. I don't remember for sure if you can, but I seem to remember they did add that little effect.
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