Audio problem: In the DS remake, all character's death cries (except Wario's) are cut off if they die from falling from a height.
Bug: After getting all 120 stars and using the cannon to get to the top of the castle, if you walk around enough at the highest point you will fall through the roof and into a hidden dimension of the front wall. Going through the door itself will not let you escape, so you must jump through the wall to reach the outside.
Other mistake: When you have all 120 stars and see Yoshi on top of the castle Yoshi will start saying: Mario it that really you?"It" should be "is." This was not fixed in Super Mario 3D All-Stars version.
Bug: In Shifting Sand Land it is possible to fly while holding your hat. If you let the condor steal your hat, hit him so that he drops the hat, but do not pick it back up. Instead, use the warp by the oasis tree and warp back and forth a few times. Then, get the wing cap and use the cannon to fly to the hat. When you pick it up, you will be holding the wing cap in your hand while flying.
Other mistake: In this game, normal damage to Mario is healed by collecting coins. When Mario is under water and starts drowning, this damage can be healed simply by rising to the surface. This fully heals all damage. But if you are hurt another way, just jumping in the water will heal all damage as if it was from drowning. This is also present in the DS version.
Chosen answer: It doesn't lead anywhere - it is an exit from a bonus star level if you end up dying.