In many of the episodes when Sydney visits other "countries", one can identify that filming took place in the US because of American telephones, traffic lights, types of signage, types of cars, architecture, door frames and door knobs in the background. Those are subtle for the most part but people living in the countries depicted feel that "something isn't quite right".
In Season 3, Omnifam's office supposed to be in Zürich, Switzerland. The exterior shot right after the "Zürich" insert is a famous building in Budapest, Hungary, on the Astoria Square. The shot is borrowed from another film, Spy Game, where Budapest played Berlin. (In Season 5, when the plot moves to Hungary, another shot was used, which is correctly in Hungary - Bem rakpart, the coast of Danube in Budapest).
Many episodes feature a sequence in which a long-distance sniper uses a laser sight to hone in on a target, but a real sniper would never even consider using one. First of all, the laser gives away the presence of the sniper which, although used successfully in the show, completely defeats the purpose of a hidden sniper. Second, and more importantly, a laser sight is completely worthless to a sniper because there are so many factors that affect the trajectory of the bullet on long-distance shots - wind, altitude drop, and the Coriolis effect on very long shots to name a few - and have no affect whatsoever on the laser that the bullet would wind up being at least several feet, if not several yards, away from target the laser pinpoints!
Seasons 4 offers conflicting details in character Nadia Santos's backstory that cannot be reconciled. She was rescued from the Russian facility where she was held from birth by Michael Vaughn's father, Bill. Bill Vaughn was murdered by Irina Derevko in 1979. Based on Sydney Bristow's date of birth (April 17, 1975) and Sydney's being age 6 when Irina faked her death and returned to Russia, it is impossible for Nadia to have been born any earlier than 1982 and thus impossible for Bill Vaughn to have rescued her.
In season two, Sloane's wife Emily is supposed to have had her ring finger cut off as part of the plan to fake her death and disappearance; indeed, we see that it is missing in "Phase One". However, her ring finger is visible and "intact" in several scenes in later episodes, including one in "Truth Takes Time".