In the hotel room scene toward the end of the film Teddy pulls Julia into the room with his right hand and points the gun around outside with his left. With no time to swap it over it is somehow in his right hand when he uses it to push the door closed again.
During the robbery of the hotel at the beginning, Jimmy-Ray readies the gun in the jacket of his uniform. About 20 seconds later when he uses it to shoot Julia's accomplice he produces it from his hip. Not only is this a different place from where he put it, but also there was nowhere on the hip of the uniform to position such a gun.
During the fight in prison following Teddy and Biggs' chess game, the table with the chess set on disappears.