Continuity mistake: Near the end of the movie, Katana and Blake are worrying about the possibility that MacLeod has spoken with Neyman and knows the exact coordinates of the hole in the shield. That's odd, because a few scenes before we see Katana and Blake monitoring MacLeod as he speaks with Neyman in the prison Max. There Neyman tells the coordinates. So they know he knows.
Continuity mistake: During the big fight scene near the end, the baddie manages to drop the hero down an elevator shaft in a warehouse. The scene ends with a shot looking up the shaft at the bad guy laughing demonically, looking pretty mucky and with hair all over the place. Cut to the next scene where the bad guy appears in a room where the shield beam is generated. Now he is completely clean, has a different hairstyle, and if I remember right has a completely different costume on. (This is because the final fight is actually a combination of two separate scenes - the scene in the elevator shaft was originally meant to come halfway into the film, but the scenes around it were cut, so it was added into the final battle. It has been restored to its original place in the "Renegade" cut of the film, but this mistake is still present in the theatrical version).
Continuity mistake: Everyone seems to enjoy swapping swords in this movie. MacCleod begins with the shortsword he takes from the porcupine headed guy, Ramirez takes a rapier from the Hamlet play, Katana has a huge broadsword. As the film progresses Ramirez suddenly acquires his original Japanese sword which MacCleod later has in spite of not pulling it from the ground where Ramirez puts it in the fan room, then MacCleod suddely goes back to having the shortsword and finally he has Ramirez's sword again, and Katana magically has the shortsword with his broadsword dissappearing completely.
Continuity mistake: Connors legs gets shot quite badly in the car, but in later shots, there are no bullet holes in his jeans.
Continuity mistake: When Connor leaves the room where Ramirez is holding back the big fan, he's wearing a Max Security jacket. In the next scene when Connor enters the building to go fight Katana, he's now wearing a long overcoat. In the next couple of shots after the elevator collapse, he's back into a Max Security jacket.
Continuity mistake: When Connor and Ramirez get shot at in the car at Max, the final shots of the shooting show Connors body half out of the open door, with his legs getting shot. In the next shot where Louise Marcus is escorted out of the trunk, she looks into the car, and now Connor is leaning against Ramirez, and the door is shut.
Plot hole: The famous line "There can be only one" is uttered in every Highlander film. At the end of the original, Connor obtained the prize by killing the Kurgan and being the last one. However, in this film and others, you find out that there are still others around, such as Duncan, the woman who was Duncan's girlfriend in Endgame, the other immortals following Jacob in Endgame, and the ones that showed up in The Source. So, why did Connor obtain the prize? He still wasn't the last one.