The way Showalter reveals he really doesn't know what he's talking about when he and Grimsrud enter Minneapolis:
Showalter: That's the IDS building, the big glass one. The tallest skyscraper in the Midwest, after the Sears in Chicago, or John Hancock Building, whatever.
Then Showalter gets on Grimsrud's case about not contributing to the conversation:
Showalter: Have you ever been to Minneapolis? Grimsrud: Nope. Showalter: ...Would it kill you to say something? Grimsrud:[annoyed] I did. Showalter: "No"? That's the first thing you've said in the last four hours. That's a fountain of conversation, man. That's a geyser. I mean, whoa, daddy. Stand back, man. Shit. I'm sittin' here drivin', I'm doin' all the drivin', whole fuckin' way from Brainerd, just tryin' to chat, you know, keep our spirits up, fight the boredom of the road, and you can't say one fuckin' thing just in the way of conversation? Oh, fuck it. I don't have to talk either, man. See how you like it. [Beat] Just total fuckin' silence. Two can play at that game, smart guy. We'll just see how you like it. [Beat] Total silence.
Showalter in a ski mask, trying to look through the house windows even through his ransom victim is right in easy view.
In the same sequence, Shep throws a naked Carl over a couch.
The scene where Officer Olson interviews Mr. Mohra, a bartender who had a brief encounter with Showalter: the audience never actually sees Mohra and Showalter's interaction directly, so it's just very funny to hear Showalter's loudmouthed, profanity-laden dialogue as filtered through a Minnesota Nice character who refuses to use the same sort of language:
"So he angrily says, 'Oh I get it, so you think I'm some kinda crazy jerk for askin'!' only he doesn't use the word 'jerk'... And then he calls me a jerk, and says that the last guy who thought he was a jerk is dead now. So I don't say nothin', and he says, 'What do ya think about that?' So I says, 'Well, that don't sound like too good a deal for him, then.'"
Doubles as a CMoA, when Marge finally has Grimsrud in her sights and tells him to freeze, she points to her badge... not her actual badge, the badge emblem on her hat.
The pitiful baby-man noises Jerry makes as the state troopers finally track him down and arrest him.
The scene where Mike Yanagita starts sobbing uncontrollably after being turned down by Marge, wailing about how lonely he is. It's extremely awkward, especially due to them being in public.
Grimsrud looking in the medicine cabinet for "unguent" to put on the bite Mrs. Lundegaard gave him. In the middle of the kidnapping.
Grimsrud, emotionless, stone-cold killer, dropping his fork in shock at a plot twist in a soap opera.
"I'm not sure I agree with you a hundred percent on your police work there, Lou." Such a perfect usage of a litote!
"He wasn't circumcised." Marge's brief, frozen-smiling pause is majestic.
Marge: Was he funny-lookin' apart from that?
The comical way Carl kicks Wade's corpse after pumping him full of bullets.
And Wade's reaction as he falls to the ground after first being shot in the gut by Carl.