Continuity mistake: When the boss puts his hands on the table at the beginning, between shots they go from being spread apart to very close together.
Continuity mistake: When Steve Martin gets off of the train in Chicago near the very end of the movie to search for John Candy in the depot, the part of his hair is on the opposite side (left) from where it normally is. There is no apparent wind blowing his hair - it looks neatly parted on the "wrong" side. When he enters the depot, the part in his hair is back to the "correct" side. (01:23:30)
Continuity mistake: When Owen arrives at the hotel to meet Neal and Del to drive them to the train station, Owen is wearing gloves on both hands. As he introduces himself and shakes their hands, Owen's right hand is now bare even though there wasn't enough time to remove the glove. (00:33:55)