Warning: The following contains discussion covering numerous Prometheus plot points - including the final scene - and is only intended to be read by people who have seen the film.
I'll prefix this by saying that I fully accept that some people may find the answers to the below questions fully, without a shadow of a doubt, in the film and as clear as daylight but, for me, Prometheus did a good job of glossing over plot points and ignoring obvious ideas it spent time setting up. Great film, but not without its pitfalls. Here are four of them and their possible answers. Less definite more postulated guesses. Contributions of the suggested answer variety, 'you idiot, didn't you realise that...' and further 'holes' are all very welcome.
The man on the waterfall.
When: The very first scene.
What: An alien man walks to the top of a waterfall where a spaceship appears ominously. He drinks an inky black substance (are we back in The X-Files?) and proceeds to decompose, ending up falling into the water. The spaceship departs.
Why: This has been read as a sacrifice but if it is then why is it and who is it to? The spaceship is never seen again and, although the man is later revealed to be one of The Engineers, there's no reference made to the sacrificial (if that's what it was) ritual for the rest of the film. Also: why does he use the black stuff - presumably the same black stuff held in The Engineers' vases - to kill himself, as opposed to something else?
Possibilities: The spaceship is the vessel of a race superior even to The Engineers, possibly the destination of Shaw in Prometheus 2 or perhaps more likely, the man is proving to his race - from a safe distance - that the small group of researchers on that planet - mentioned to be the case by one of Prometheus' team - have created a successful WMD, although quite why he needs to do it in this dramatic way isn't clear or this is actually Scott's creation moment - all life on Earth started from The Engineer drinking the goo. But still, the question remains, why does he do it?!
Problems: Why include this in this film - particularly at the start - if you're never going to hint at it for the rest of the runtime?
The final scene.
When: The, erm... the bit at the end. Not that bit. The other bit.
What: Shaw jets off with headless Dave to seek out new life.
Why: Where are they going? How do they know how to get there? Why, at no point during the film, did anyone not refer to the other ships? How can Shaw survive on the alien ship? Who's going to put Dave's head back on?!
Possibilities: Well, surely just a case of Scott wanting an ambiguous end. I wouldn't be surprised if we never see David and Shaw ever again or, at the very least, we don't see them until the next squad find them on that film's planet.
Problems: Its a bit too floaty, isn't it?
Where does the Space Jockey fit in?
When: During Alien.
What: The so-called Space Jockey (a member of the now renamed The Engineers) is shown with a chest-burster protruding from his chest.
Why: Prometheus was loosely based on the unexplored premise of who the Space Jockey was... so why don't we get to see 'him' (the individual one in Alien)? Scott has talked about this film needing 'two sequels' until we get to the events of Alien but still, it feels a little like we've been oversold Prometheus. Plot wise: given the final, final, scene of the film, at what point does Alien meet the Space Jockey?
Possibilities: There are other Engineers in hyper-sleep on the planet Prometheus takes place on. One of those wakes up (somehow) and is faced with the new Alien menace or there are other Engineers in hyper sleep on Shaw and David's ship, but if one of them wakes up, how does it meet the Alien?
Problems: Scott has already said that the planet Prometheus takes place on is not the same planet Alien takes place on, apparently ruling out the first theory.
What were The Engineers running from?
When: Perhaps forty minutes in.
What: A hologram of a group of Engineers running from something is triggered by David.
Why: They run in to the 'Head Chamber' and the hologram stops. That's it. It's never referred to again. What were they running from?
Possibilities: The cargo appears to be a temperature-controlled biological weapon. An accident on the ship could have released it, forcing The Engineers to flee.
Problems: They're fleeing into a room with more of the weapon in it!
The Guardian have a similar strand up and running here (thanks to Lee Clements for the link).