Loads! I started doing an episode guide which you can see at http://www.theanneboleynfiles.com/resources/the-tudors-episode-guide/
The one that really annoyed me was the way that they combined Henry VIII's two sisters into one character - Princess Margaret - and therefore wrote out the existence of James V, Mary Queen of Scots, James VI/I, Lady Jane Grey etc! Mad!
However, there were also lots of accuracies - some speeches were word-for-word perfect and lots of little known events, like Henry landing upside down in the mud, really did happen, so they really did do their research!