Continuity mistake: In the first episode of season 6, "Rebirth", near the end after the real Fry comes out of the Rebirth chamber, the robot Leela says that she and the robot Fry are in love she now has the real Leela's mechanical arm device on. But she never had it before or after that shot.
Other mistake: When the Moon Patrol officers throw Bender out of the airlock onto the moon's surface, they are exposed to hard vacuum, but they aren't wearing space suits. Throughout the episode it is established that the moon's "atmosphere" is a vacuum and protective suits are necessary - when the farmer removes his helmet he begins to asphyxiate instantly.
Continuity mistake: When Fry and Leela get to the moon landing site, Leela climbs in the moonlander hatch with the oxygen tank to which Fry's oxygen hose is connected. The hose is visible as it leads in to the hatch. When Leela pops her head out the hatch, the hose is suddenly gone. Then in the next shot, it's back, but lying underneath the hatch. (00:17:50)