Captain Hammer is present for the opening of the Super Hero Memorial Bridge. Hope whatever hero(es) it was built in memory of just died of old age...
And another involving the captain: in "A Man's Gotta Do," he sings that "the only doom that's looming is me loving you to death." It sounds like just an innocent attempt at a cute pickup line, but given that he's a moron with super strength who literally doesn't know what pain is or comprehend it and has never slept with the same girl twice... Penny is still alive after their night together of course, but that doesn't rule out the idea.
The line "Hammer, meet nail!" in "Slipping" may sound nonsensical as a threat, until you realize what Dr. Horrible means by that: "Captain hammer, look at the lengths your incessant beatings have driven me to!"
Doctor Horrible got everything he ever wanted and all it cost him was a Penny.
Alternatively, he got everything he ever wanted, but it cost him a pretty Penny.
On first viewing, the Wonderflonium container being labeled "Do Not Bounce" seems like just a quick joke, and the death ray misfiring later was a result of it being damaged by the fall. But actually, during that fall, it bounced. And that set the Wonderflonium off.
Penny's dying line in the climax, "Captain Hammer will save us," seemed a little out of place. It seemed odd for her to place faith in a man she had seen to be an ass, and as not particularly heroic. But it fits in with how Penny (as she admits earlier) chooses to see the good in everyone- even if Hammer is an ass as a person, he does still save people and thus she chooses to see him as a hero.
Additionally, Penny saying this to Dr. Horrible as well may be a sign that, in a confused dying state, Penny only recognized Dr. Horrible as Billy and was just trying to comfort her laundry buddy while a villain was on the loose.
This is a small thing, but when Captain Hammer meets Penny at the landromat and they kiss, the shot cuts away almost ridiculously quickly. Why? Because we're supposed to be sympathizing with Billy, who can't stand to look at it.
When Captain Hammer meets "Billy" for the first time, he mentions, "It seems you have a little crush" regarding him and Penny. How would Captain Hammer know that? Dr. Horrible mentioned it on his blog. Which, as he also stated, Captain Hammer watches.
When asked what he's been up to, Moist replies "Life of crime. Got your mail." This may be unintentional, but tampering with the mail is a felony, and Moist did make his friend's mail very soggy.
Captain Hammer's Jerk Ass behavior makes more sense when one considers that the exploding death ray was the first time he felt pain and it reduced him to a sobbing wreck. He'd never experienced even minor hurt to understand what other people go through, and he likely had an easy life given the sheer rarity of his power and being treated well given its utility. As a result, Hammer likely never developed real empathy. He ironically has a better Freudian Excuse than Billy.