The Wedding of Bobby Hill - S3-E14
Deliberate mistake: As Luanne is putting the dirt into Bobby's fruit pie you can see she rips open a large part of the packet. Yet in the next scene when Bobby is about to eat the pie there is no sign of where Luanne ripped the packet. Its likely this was deliberate as the joke in the scene was Bobby and Luanne's constant attempts to get back at each other, if they had left the large hole its likely Bobby would have not fallen for Luanne's prank.
The Wedding of Bobby Hill - S3-E14
Continuity mistake: During the scene where Peggy and Hank are enjoying a spa, Hank fills up the champagne glasses with beer. He stops pouring a bit before the top of the glasses and there is very little foam on the top. In the very next shot both their glasses have foam overflowing from it.
The Wedding of Bobby Hill - S3-E14
Revealing mistake: During Rad's haircut from Luanne, there is a shot that shows the both of them in the mirror. You can see both their reflections and the room in the mirror but the objects on the counter in front of Rad have no reflection.
The Wedding of Bobby Hill - S3-E14
Continuity mistake: As Bobby visits Connie and is at her window he lays his hands on the window sill. The next shot they are back by his side and they keep alternating back and forth even though he never moves them between shots. At the end of the scene Connie shuts the window smoothly even though his fingers were still there in the shot before.
Answer: In addition to Brian Katcher's response: it's supposed to be a joke that Dale is always suspicious about conspiracy theories, mysteries, etc, but he is "clueless" about his own wife having an affair. Of course, as Brian wrote, many fans think that Dale is pretending to be clueless because he doesn't want Nancy to leave him.