Battler: "Looks delicious. Slice up your cowtits and make me a sandwich." Cue him slamming Beato's face into the table.
Also from EP 2, Kanon pretending to be Jessica's boyfriend leads to her friends all chattering and gossiping behind her back (well within earshot) which then leads to a rather hilarious beatdown from Jessica. And the Tsurupettan song.
Rudolf: "Oh yeah. It's like 'sucker merry barrels'. What do you get when you take out the e's and r's?"
The scene in the anime's episode 14 when Ronove reacts to Beato getting annoyed and almost making a bad move by slapping his hand over her mouth and saying, "Excuse me, we need to discuss our strategy." The look on her face is absolutely priceless, especially since she keeps trying to talk. Despite the fact that he's still covering her mouth with his hand.
Beatrice: *laughs evilly* Ronove: Milady, your laugh lacks elegance. Beatrice: Oh, sorry about that. *laughs a bit more refined*
Anime episode 15, when Beatrice asks Battler for a new name, and he says something like "Beato is enough for you". Beatrice just kind of stands with a disappointed face, while Ronova - barely - supresses a laugh.
Later in the same episode, she gives her servants a speech. Even taking after what just have happened into account, and what it is they are talking about, it's still funny to see usually pompous Beato stumble with words like a scolded schoolgirl.* EP4 has quite a few:
Before the start of the game, Ronove tells Beatrice that Battler has been suffering from a nasty Heroic BSOD as a result of her crushing deception throughout EP3 and, after spectacularly rubbing it in her face, suggests she "cheer him up" by "shining with a brightness stronger than the dark." And so she appears before Battler in a hilariously huge entrance, tossing confetti everywhere and acting like a typical Genki Girl...only to find him energetically wrestling with Beelzebub for his breakfast. It has to be seen to understand the sheer hilarity of it.
Battler mishearing "Gretel" as "Ghetto".
Virgilia's general dislike for Gaap is prevalent in this episode, especially towards how she shortens her name to "Lia." She even tries to shorten Gaap's name in retaliation, only to fail miserably and resort to taking out an "a," calling her "Gap." Thus, when Gaap does anything that touches a nerve, Virgilia throws a cute little hissy fit while rapidly muttering "Gapgapgap."
The entire fight between Krauss and Goat-kun, as detailed in Cliché Storm (YMMV page). It must be seen to be believed.
Erika in the Hidden Tea Party when trying to deny Battler's theory: "TAKE THAT, DEAD PEOPLE!!"
Battler: "I won't let you bitches hijack our game!"
One thing about this story in particular that could be funny to those who have already watched the ending of the series: When Battler is overwhelmed by the requests of all the characters, he asks Virgilia and Ronove if he can make the story end as an All Just a Dream. Virgilia and Ronove arenotamused.