There's a quick bug list so Blue66 won't forget anything
Feel free to correct me.

Weapon switching glitch
Player is unable to switch weapons while hanging on the wall, but able to switch them by 1-6 keys. If I understood correctly, you CAN'T change weapons while you hanging on the wall, can ya?

Another glitch happens when you change weapons when you're hit:
For example, you have lvl 2 weapon and you switch to lvl 3 weapon - "Level Up" message is displayed. I play on a gamepad and don't see that message often so I assume that this thing only happens when you change weapons with 1-6 keys.

Items in the wall
Happens when you shoot an enemy like Giant Eye with Horns or Seagull Head.

Blockable ghosts and lava glitch
Well, I don't thing that this is a bug, but... It seems not right to me

Disappearing blue keycards
The one in the Mansion and in the Ice Hell. Happens after you have opened the blue doors for first time and then re-entered the area. Possibly fixed.

Broken bridge under the City, opened doors, etc. on second playthrough
Possibly happening because of "uncleared" events of previous game. Although, I've discovered that you have ammo bar of the sixth weapon, but you don't have that weapon (well, I know that you shouldn't have the weapon in the second playthrough )
And, I've discovered that you CAN save the weapon after finishing the game by switching on it after defeating final boss.
Although, you have shield+machete at the start of the game, shouldn't player get them later?

That's all for now, feel free to add what I'm missing.

Thanks for the report
All things you've mentioned (and more) will be fixed in the upcoming patch (very soon!).

...except the items-in-wall stuff... I can't do much about it :/

Well, that's not very major issue, except when you can't get medpack from wall >_<
Thank you very much for fixing that. I know, that almost all (or all?) of those issues was known, but just in case

There is a bug that happends to me sometimes, when i kill about 20 mobs in a few seconds with pistols/icecle/sawblade in marsh level, then rain turns in a solid flood and fps drops down to 1.

Playing v1.1 I faced a glitch with the blue key in hell area of North station. I've seen the closed topic with discussion of this glitch, but it's v1.1. Tried reentering area - useless. Previous patch can't be installed.
Other bugs I've seen:
In Hell area of Desert station (left part) i can fight the Boss without having any runes. Just jump in center of that chamber and after few seconds he appears. Moreover, I don't even have the Skull from Marsh Area. After defeating this Boss i get Skull and Magic Map and may proceed further as if I completed a good part of the game.
When collecting parts of the Stone behind silver doors I took the first one in hell of forest station, the second one in hell of desert station. After that I opened inventory and saw I have 3 parts. Went for the next part in Desert on the right and there was nothing.
_______
Update
After restarting application blue door disappeared.

LOVING this game! Great feel, great control. I did hit a major sequence glitch (I think)...without delving too far into walkthroughs i can't be 100% sure but it seems like it.

Basically, I "got" the evil skull without actually getting it. The first time it showed up was after I killed the boss in the Hell Desert, the one with the four shields spinning around it, who spits eyeballs at you and so on. The general sense I have is that I shouldn't have been able to encounter that boss yet, but I basically just walked up there where he was, jumped around for a bit, and he materialized and started fighting me, so I killed him. A blue and red light thing (runes?) lit up, and suddenly there's this skull talking to me as if we're old friends. I hope this doesn't break the game completely; I don't know if I've gotten to the point where I "should" have found the skull yet.... although there is a house in the marsh with nothing in it, so that kind of worries me. I'm just kind of slugging away anyway, hopefully it all works out fine.

Anyway, figured I'd pass this one along. Thanks for the fantastic game though!

Fixed, fixed and fixed. I will lock the topic now, so other bug reports for new versions won't get confused.

Please download version 1.11 as soon as it is uploaded (any minute now).