Continuity mistake: During the sepia-toned explanation of the Doctor and Clara's initial investigation into Sweetville, when they pose as a married couple to infiltrate the place, are accepted, and the Doctor says "The missus and I couldn't be more chuffed, could we love?" in a bad Northern accent, Clara's fake smile goes from closed-mouth to open-mouth between shots. (00:19:57)
Other mistake: When Mr. Thursday goes to see Vastra, to hire her to investigate his brother's death, he doesn't see her face (she's a Silurian "lizard woman from the dawn of time") until she lifts her veil to take a closer look at a photograph he brought her, upon which he faints. However, Vastra's veil is quite see-through, enough that her non-human appearance is obvious to the audience even before she lifts it. The same thing happens when she goes to visit the coroner later - although he doesn't faint.
Revealing mistake: Just before Strax leaves grumbling that he's going to play with his grenades, if you look closely you can see his face mask peeling. (00:27:45)
Chosen answer: The Master knows that deep down, he deserves death for the crimes that he's committed throughout his life, and since he regards The Doctor as his arch-foe, he expects it to be at his hands. The fact that The Doctor is still willing to forgive him for all of his crimes hurts him more deeply than death would.
Captain Defenestrator