This troper's favorite Mel Brooks moment ever is in "High Anxiety", when Brooks' character makes a Startling Discovery, complete with dramatic string music... and then a bus drives by with an orchestra in it playing dramatic string music.
After that, anytime dramatic music is played, the characters look upwards in suspense.
Also hilarious is the moment where the camera zooms "through a window" to a dinner party, only to break the glass, complete with awkward pause from the dinner guests.
The gag comes back in the last scene as the camera pulls back too far and takes out the wall behind it.
The Psycho shower scene parody. From the moment Thorndike enters the shower you know it's coming, but probably won't predict the perfectly set up method that the parody takes. "That kid gets no tip!"
"HERE'S YOUR PAPER! HERE'S YOUR PAPER! HERE'S YOUR PAPER! HAPPY NOW!? HAPPY!?... HAPPY NOW!?" said in the highest-pitched and manic voice you can imagine.
The scene where Thorndike and Victoria disguise themselves as a cranky old Jewish couple to get past a security check, sneaking a gun by because the guards can't stand to be around their obnoxiousness anymore.
The Werewolf scene.
"Hey, Norton! Missing something? Hahahaha!!!"
Thorndyke having to answer a question about toilet training... while a doctor's young daughters are in the audience. "Are you referring to... number one, or cocky doody?"
"He can develop...peepee envy."
When they first visit "Arthur Brisbane", who thinks he's a cocker spaniel....
Thorndike getting strangled in a phone booth and Victoria is on the other end of the line thinking he's a kinky caller and she's getting turned on "Jeans? You're wearing jeans?"
I gottit! I gottit! I GOTTIT! ...I don't got it.
The opening scene in the airport. Dramatic music is playing throughout and when Mel Brooks' character gets outside the music stops. "What a dramatic airport."
"Hey, everybody, guess who has high anxiety?"
While Montague and Diesel scheme over tea, the cameraman tries to film a low-angle shot of them from underneath their glass table. As the two schemers pass each other such items as the teapot and the sugar bowl, he constantly tries to find a clear area to continue shooting. Finally, Diesel plops a pan of strudel onto the table, creating a cut to black.