Continuity mistake: The tape is labelled "Vincent Grey" in the first shot, but the label disappears in the next shot.
Character mistake: When Cole and his mother are stuck in traffic due to an pedestrian accident, a cop ignites a flare to place on the road by the car that hit the pedestrian. The police were already on scene, traffic was gridlocked up and down the street, nothing was moving, and he places the flare about 2 feet in front of the car - a move that is unsafe (potential fuel leak) and unnecessary. It would never be done on a city street, and never in heavy traffic.
Trivia: The doctor that treats Cole after the incident at the birthday party is played by director M. Night Shamalyan. Interesting about this scene is that Shamalyan came from a family of doctors, including his wife who is one. He also at one time wanted to become a doctor before he decided on a career in filmmaking.
Trivia: Every time dead people are close by, there is something red in the preceding scene (i.e., when Cole is at the birthday party and is about to get trapped in the attic with the ghosts, there is a red balloon rising toward the ceiling; when Graham comes home to his wife sleeping and is about to realize that he too is dead, she is wearing a red throw; when Cole is in the car with his mother and there is an accident up ahead, she is wearing a red sweater, etc).
Question: What happened to Cole in the room that he got locked in at the party? We hear the ghost but as far as we saw during the movie, none of the ghosts actually hurt Cole, physically at least, so what could've happened to him?
Answer: Near the end of the movie, when Cole tells his mother his secret, he is explaining to her about the ghosts, and says "They're the ones that used to hurt me". This informs us that the ghosts are responsible for his injuries in the movie, and that this problem has stopped. In this specific case, however, Lyn removes Cole's unconscious body from the closet. The movie does not specifically answer your question, however it seems reasonable speculation that he was injured by the ghost inside the closet with him, and that he thrashed about violently trying to escape. Since the hospital checked him for signs of seizure, I expect he lost consciousness not from physical trauma, but because the experience was too much for him and he, for want of a medical term, fainted.
Question: Does anyone know why in pictures Cole always had a streak of light above his head?
Answer: That sparkle represented the dead people who were always hanging around Cole. Being in his presence, with his power to interact with the dead, caused them to have a physical signal to a perceiver of absolute truth: a camera.
Question: Does Cole know for the whole movie that Malcolm is dead? If he does, why isn't he afraid of him like he is of the other dead people in the movie?
Answer: Yes, of course. Remember that Cole tells us that these ghosts only "see what they want to see". To avoid giving away the whole plot twist of the movie, we see Malcolm as he sees himself - no injury, and dressed as would be appropriate for where he sees himself. But we know Cole can see dead people, and he sees them as they truly are. The young blonde boy with the back of his head blown out should make this clear. As for the second part of your question, I think Cole is scared of Malcolm at first. You can see his fear when Malcolm walks past him in the church to sit in the pew in front of where he is playing. His tension slowly eases during their conversation, but he still looks wary as he leaves the church. I get the impression that Cole spends large portions of his time in this building, yet he leaves this time within a few minutes of arriving; he doesn't want to stay near this new ghost. He becomes comfortable with him later of course, and Malcolm eventually wins his trust through honesty about his own problems, but this is not true from the start.