The identity of Damien's mother, a jackal. First it's the Ur Example of Predators Are Mean, Damien being the son of Satan and a predatory animal and second the animals were going crazy at the zoo due to the fact that Damien is half jackal and jackals are predators to those animals in the wild.
Also a bit of Fridge Logic, since a female jackal only weighs about 20 pounds, and wouldn't be big enough to carry a human newborn to term, even if it were given a Cesarean.
Why only a single Dagger of Megiddo is able to finish Damien off in the third film, instead of all Seven mentioned in previous films? Because throughout The Final Conflict, Damien complains that his power has been waning due to the arrival of the Nazarene, so it's convievable that the Seven Daggers of Megiddo were only required when he was at the height of his powers. He's been effectively nerfed to the point where he can get mortal wounds.
This becomes a major point in the non-canon sequel novels after the third film. Damien was stabbed by one dagger, killing his physical body but not his spirit, which reincarnates in the form of his son whom the reporter woman gives birth to and grows up. The son kept the body of his father in a shrine. At the climax of the books, the corpse is then stabbed with all seven daggers, and the body crumbles to dust and his son loses all his powers and purpose.