Everything Sunny says with her baby noises is subtitled.
On their current alleged guardian, Aunt Josephine:
Someone's been to Crazytown.
Once we get see just how paranoid Josephine is:
She's the mayor of Crazytown!
When Sunny apparently bites Olaf:
Sunny: "Back off, parrot face!" Olaf gasps Sunny: "I'll bite higher!" Olaf: "Menge-nenge!" Sunny: "Don't mock me!" Olaf: "Mini kiki! Akana he hanaka hatananewa akana!" Sunny: "Whoa, you are nuts." (Which, of course presses Olaf's Berserk Button, causing him to cross the Moral Event Horizon.)
The real kicker was the one time she actually spoke, when Josephine clarified that her late husband didn't die in a fire, but was rather eaten by leaches. Klaus and Violet can only look at each other in befuddled silence, while Sunny sums it all up with a skeptical, "... Okay."
Violet and Klaus' rather goofy expressions before opening the door to find Olaf as Stephano.
The part where Count Olaf stops his car on the grade crossing in front of the convenience store, while rather scary, has this funny bit (for some context, a Running Gag of Count Olaf's is to "mistake" Sunny for a monkey):
Count Olaf: *points to. Violet, Klaus, and Sunny respectively* Soda. Soda. Banana.
Sunny: *subtitled* Bite me.
Count Olaf:[grits teeth] Got it. [gets out and locks the doors, then goes into the store]
Afterwards, there's the fact that when the orphans manage to throw the switch to divert the train to the other track, Olaf starts laughing madly, but as the train roars by leaving the car unharmed, his laugh suddenly changes into one that sounds like "Huh?", which is pretty freaky sounding!
Count Olaf shaking himself like a dog.
"Let's go back to prehistoric times, when dinosaurs ruled the Earth!" and then his over the top impression of a T-Rex, especially when he pretends to nibble on the bald guy's head.
He has a little piece he likes to call the Electric Chair: [beat]
Count Olaf:[Southern accent] "I think ya' might have to turn it up! Is anybody OUT THERE?!?!?!?!"
"I am, uh, Stefano. I am an Italian man."
When the children first learn they're being sent to live with Count Olaf, Mr. Poe explains that their parents' will stated that they were to be put in the care of their closest living relative. Olaf was chosen because he lived the closest distance away from their house.
Klaus Baudelaire: I don't think that's what "closest" is supposed to mean.
Violet Baudelaire: We don't know a Count Olaf.
Mr. Poe: Yes, yes, of course you do. He's either your third cousin four times removed or your fourth cousin three times removed.
Sunny:[subtitled] Someone's brain's been removed!
"Now would be an excellent time to get up and walk out of the theater, living room, or airplane where this film is being shown." Would you have walked out of the plane to avoid watching the movie?
The sequence at the beginning with The Littlest Elf. Doubles as an awesome Mythology Gag for those who have read the books.
In a deleted scene:
Olaf: My kingdom for a- (sees one of his henchmen walk out in a horse costume instead of Klaus) HOLY CRAP!
The director/real Lemony Snicket commentary. Snicket/Handler insists he was tricked into coming, becomes distraught upon seeing that the film is not about "The Littlest Elf" and begins to play the accordion to block out the sounds of a leech attack.
In the books
Count Olaf in The Vile Village: "It's cool... to obey the law."
"It's not cool to accuse me of lying."
Really, every single line delivered by Olaf while he's in disguise. Especially if you listen to Tim Curry's audiobook reading of it.
In The Hostile Hospital, the narrator tells us about his friend, a lepidopterist. He was running away from these guys and had to eat his butterflies so the other insects in bug prison wouldn't beat them up. Then once he got out of jail, he burped them back up.
Count Olaf's and Esme's evil laughs.
Any of the bizarre tangents the Lemony Narrator goes off on - notable are "the bears bear hard hard yarn yarns" and "the Baudelaires' journey up the Vertical Flame Diversion was so dark and treacherous that it is not enough to write 'the Baudelaires' journey up the Vertical Flame Diversion was so dark and treacherous that it is not enough to write 'the Baudelaires' journey up the Vertical Flame Diversion was so dark and treacherous that it is not enough to write 'the Baudelaires' journey up the Vertical Flame Diversion was so dark and treacherous that it is not enough to write My dear sister... "
Also Snicket's "in the dark" tangent in Book Six that goes on for several pages. It's two entirely black pages... with Violet's hand sticking out of the bottom and a small pit of light with Esme in it at the top.
An unrelated "in the dark" tangent in Book the Thirteenth explores the literal and metaphorical meanings of the phrase "in the dark" using every possible combination of being in the dark and being not in the dark, such as being "in the dark while not in the dark", "not in the dark about being in the dark", "in the dark in the dark about being in the dark in the dark" . . . Using a mysterious anecdote involving a buried cabinet and a man being followed by ballerinas.
Snicket's intentionally tedious descriptions of the Water Cycle in book 11.
"The book was long, and difficult to read, and Klaus became more and more tired as the night went on. Occasionally his eyes would close. He found himself reading the same sentence over and over. He found himself reading the same sentence over and over. He found himself reading the same sentence over and over.
"We all know, of course, that we should never, ever, ever, ever, ever, ever, ever, ever, ever, ever, ever, ever, ever, ever, ever, ever, ever, ever, ever, ever, ever, ever, ever, ever, ever, ever, ever, ever, ever, ever, ever, ever, ever, ever, ever, ever, ever, ever, ever, ever, ever, ever, ever, ever, ever, ever, ever, ever, ever, ever, ever, ever..." [repeat until it fills up the entire page and creates a Wall of Text] "...fiddle around with electric devices. Never."
"Unless you happen to be Violet Baudelaire."
"People will often say things will feel better in the morning, but of course that's rarely the case. My driver once told me things would feel better in the morning, but when morning came we were still on a deserted island surrounded by man-eating crocodiles, and neither of us felt any better."
All of Mr. Remora's stories.
One offhand mention in The Slippery Slope, where two of Olaf's henchmen burn down the V.F.D. headquarters... they describe burning down the pool as well, with one of them adding, "And that wasn't easy to do!"
Thinking of all the effort Count Olaf put into Stefano only to have it be instantly seen through.
When Klaus is reading the large book of laws in the Village of Fowl Devotees, he comes across a very contradictory pair of rules: "'Rule #19 clearly states...that the only pens that are acceptable within the city limits are ones made from the feathers of crows. And yet Rule #39 clearly states that it is illegal to make anything out of crow feathers.'"
In The Austere Academy, Snicket describes Nero's violin recital as like listening to a cat being viciously beaten.
In The Grim Grotto: "Carmelita... You're a Marshmallow."
In The Hostile Hospital, the mere fact that both the Hook-Handed Man and the Bald Man with the Long Nose are completely and utterly taken in by the disguises worn by Klaus and Sunny, and mistake them for the White-Faced Ladies.
Olaf visibly boiling over with rage every time Aunt Josephine corrects his grammar.
From the series
Olaf locks the Bauderlaires in a room, and tells them that the time until the performance of The Marvelous Marriage is represented by an hourglass... And it runs out the second they glance at it, prompting Olaf to come in, note it's empty, and say that it was way too soon and that the siblings have to flip it over a few times. What's more he curses the online purchases.
The androgynous person starts going off on how marriage is patriarchal and the like and how s/he finds something a little wrong about it... and of course Olaf starts taking out a dictionary, presumably to look up their words.