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When Detective Aguilar receives a phone call informing her of Penny's whereabouts, the length of the call is too short, and her responses are sequential and not too far apart, there wouldn't have been enough time for the information to get through to her.
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During Penny's birthday party, after Lynette has screwed up her daughter's name in the cake, she offers to give her a puppy. However, Tom had revealed, earlier on in this season, that Penny is alergic to dog fur. It is unknown whether this was on purpose, to reveal even more of Lynette's forgetful nature as a pregnant woman, or a continuity error.
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When Gabrielle first moves in with Bob and Lee, Bob wonders why she is bringing three suitcases. When she gets ready to leave, however, we see her carrying only one.
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Continuity: When Tom and Lynette are discussing names for their new baby, Lynette mentions she wants to name her Polly. During a flashback in the second season finale, however, Lynette said she hated the name Polly while they were naming a newborn Penny.