In several of the shots inside the police car, the "dog" in the back seat is actually Mike Jittlov holding up a corduroy jacket in a vague dog shape.
What the hell do you want to do?
Mike 'The Wizard' Jittlov: What do I want to do? I'll show you what I want to do! I want to do this...
Harvey Bookman: What is this, a cartoon?
Mike 'The Wizard' Jittlov: No, it's a live-action feature film with a real story.
Harvey Bookman: A real story? With real people?
Mike 'The Wizard' Jittlov: Yes! And Special Effects that ...
A character makes a continuity error. In Mike's film-within-a-film, the Wizard takes Cindy to Hollywood. She phones her friends back home, who all run out into the street hoping to see the Wizard, and Cindy is somehow in that group too.
The last one is "The Moon copyright 4,538,000 BC, The Earth. World rights reserved."