One humorous (though admitedly cruel) thing you can do to Furby is hold it upside down. It will start making confused noises and saying "Me no like this".
There was an anecdote online (though the site it came from is defunct) telling of a person's two Furbies interacting with one aother. One of the Furbies somehow fell over and bumped into the other Furby causing it to go "Ow!".
There was an episode of The Simpsons that featured a group of Furbies that'd gone feral.