The "Pink Elephants On Parade" scene was Nightmare Fuel to most viewers, but some parts of it can be pretty funny.
For example, at one point an elephant head pops up. Then another,upside down. The two heads look at each other and shrink away from each other at the same time.
One large elephant is constantly trampling a smaller elephant. The smaller elephant sneaks up behind the larger elephant and kicks it in the rear. The elephant splits into three somewhat smaller elephants who make trumpet noises at the other elephant before it grows to a massive size and uses a pair of cymbals to smash the three into a load of tiny elephants. Also a Moment Of Awesome.
One tiny elephant is stuck between the cymbals. As soon as it pries itself free, it dances on the others' heads as if to say "Look at me! I'm a big shot!"
And finally, there's a point where an elephant wipes his ass with a lightning bolt. Hey, who said all randomness was creepy?
This exchange while the Ringmaster is making a lengthy introduction to the pyramid act:
Catty: Hearing him talk, you'd think he was gonna do it.
Matriarch: The stuffed shirt!
Later on, when the elephants finish the act and the Ringmaster goes into lengthy intro mode again (this time for Dumbo himself):
Matriarch: That windbag! Why doesn't he get to the point?!
Out-of-universe, someone once did a remix of "We're Gonna Hit the Big Boss for a Raise" on Youtube. Sadly, it was taken down.