In the final showdown, the villain (who has murdered a man for the clue to the missing $7 million and now is facing McCloud, who got to the clue first), says, "You're not giving me much of an out, McCloud. It's already murder one." In California, yes. In New York at the time, no. A murder-one charge was specifically reserved for killing a police officer conducting his duties, or a murder committed by a life term prisoner. New York didn't classify other crimes as murder one (and death penalty-eligible) until 1995, when they rewrote their statutes under a new governor.
During the ballet scenes, which take place on different nights, the audience members are exactly the same (stock footage).
When the suitcase filled with coloring books is first opened, and almost immediately closed by Chief Clifford, the book on the left side of the case changes to a completely different cover. Same thing happens again when the contents of the case are shown in close-up after that.
Sam asks for Bermuda Red Onions for his chili. But there is no such thing. There are Bermuda Onions, which are a sweet onion. And there are Red Onions, which have a bite to them and an eye watering quality. But Bermuda Red Onions do not exist.
Ben, the owner of the diner, tells McCloud that 'Little Ben' works nights. But later, when McCloud returns to the diner with Margaret to cure her hangover in the daytime, Little Ben is there again.
When in Grand Central Station a train announcement can be heard. One of the stops is "Central Islip". The announcer pronounces Islip as "IZ-slip.". It should be pronounced "EYE-slip".