In Risky's Revenge, after beating the first dungeon, Rottytops will tell you that "Your curiosity can really pay off" if you talk to her. Now, what transformation power did Shantae acquire in the first dungeon? That's right, the monkey transformation! The game's telling you to be curious as a monkey. Also counts as a Stealth Pun.
In Pirate's Curse after giving Bolo the X-ray specs to help him with his nearsightedness, he offers to examine a fossil for you. Hilariously he's able to not only find out what it's a fossil of, but expertly clean and refurbish it. At first, this seems out of character for Bolo, seeing as his two engineering attempts in the game wind up constructed backwards, upside down, and inside out. However, you then realize that that's exactly what Bolo did with the fossil! He took the fossil, rotated it a bit, and made it so that it's contents were outside the stone!
In Risky's Revenge you can kill Wobble Bell to make him drop 100 gems. Unlike everything else, he doesn't respawn if you do this... In Pirate's Curse, the credits show Wobble Bell in the Village of Lost Souls, part of the afterlife.