Continuity mistake: In the opening scene of Level 10 (Sanchez' fortress), Sanchez tosses a stone after his lieutenant Pedro, which lands in front of the barracks under the water tower. Later on, in Sanchez' tutorial (Level 14), however, Sanchez finds the same stone - he recognizes it - right in front of his fortress' gate.
Plot hole: It's funny that Doc McCoy's special sniper ammunition for his Buntline can be found in various other locations even though he says in his tutorial that he crafts these bullets himself.
Trivia: By accident I found out that the players are actually able to kill innocent civilians in Level 12 (El Paso), and not directly. To kill a civilian without stopping the game, he/she must be placed before the approaching stagecoach or the train. Also level 7 - in front of the train (Kate can move them on the train tracks by kicking them), level 16 - you can kill them with the mobile statue that Sanchez pushes in the labyrinth.