The opening scene at the "Santa Barbara Pier" shows a set of railroad tracks just in front of the entry to the pier. The only "pier" in Santa Barbara is called Stearns Wharf., and it has no such tracks. This discrepancy is due to the fact that the series is not shot on location in Santa Barbara, but is in fact shot in Canada.
McNabb is seen working in the precinct after the opening musical number when, in the episode prior, he was fired by Mr. Harris Trout. As implied in the opening number, this special episode happens sometimes before Juliet discovers Shawn is a fake (S07E07).
Gus and Shawn make references in the opening musical number about Juliet not knowing about Shawn's "psychic" ability being a sham, even though they broke up earlier in the season when she found out he's living a lie (episode 7) and got back together when he tried to turn himself in (episode 10). This special episode happens sometimes before these events.
At the theatre when Yang battles the killer for Shawn's life and is flung to the floor, it is first seen that she falls with the knife above her head and it falls out of her hand. However when Shawn and Gus get to her the knife is gone and she is turned over to see that she was supposed to have fallen on it in the first shot, giving her the fatal wound.
When the police discover Elisa's body, after Lassiter finishes singing "I've Heard It Both Ways Reprise One," Brooke Lyons (the actress who plays Elisa) can be seen to take a breath even though she was supposed to be dead.