You can watch a group of women do the can can. The dancer on the far left is noticeably out of synch with the rest of the dancers.
You are also treated to a man preforming tricks with a Lurker. It is...not very well trained. Especially the end of the act, where the Lurker runs off stage, and the man throws his arms out as he did every time the Lurker performed a trick, before edging offstage after the creature. You can hear him shouting for it, as well as the sound of glass breaking from something it presumably knocked over.
The quartermaster in the Library mission of the Faction Pack DLC has a tiny pet Lurker that he allows to perch on his shoulder like a pirate's parrot (He even has a peg leg to boot). And it seems more tame than the Theater guy's Lurker ever was.
In one level, you can overhear a couple of Red guards talking about how they have been forced to help with labor. They then proceed to talk about ways to make it look like they are working without actually doing so.
At the beginning of the game, Uhlman reprimands Khan for suddenly showing up in the middle of a top-secret bunker as if he were talking down to a child, and later repeatedly tells him to "shut up" while he's in the middle of one of his mystical speeches. Khan, on the other hand, responds by calmly counseling Uhlman about his smoking habit, which is even funnier if you know that Khan in the books was quite the frequent smoker.
After your awesome custom armored railcar finally breaks down after carrying you far enough, Artoym climbs out of the wreckage and does a little fist bump with the windshield.
The little Dark One flailing about in the decontamination chamber's sprays.
In the Ranger level of the Faction Pack DLC, Shaman tells you not to expect to find the Secret Map of the Metro. The last item on the list of salvageable items is literally just that.
Hold still while holding a gun, and Artyom will play around with it. With the Bastard, he tosses it into the air, and it doesn't come down, then checks to see where it went (Right when it drops back in his hands) and on the Kalash 2012, he rips out a sweet air guitar solo on it!
During the bar scene at the beginning of the downloadable Spider Lair mission, Petrovsky jokingly offers to light Simon's cigarette with his flamethrower, going so far as to point the huge thing's barrel across the table at him and wave it in his face. Simon refuses...then Petrovsky lights his own cigarette with the pilot light.
Doing a Pacifist Run or Stealth Run through the game can be hilarious in and of itself if you knocked everyone out instead of just avoiding them. All those Nazis and Communists will wake up to what they can only conclude was a mass mugging - you punched them into unconsciousness and then stole their money, medkits, and ammo.
Near the beginning of the game, when you're getting your gear from the quartermaster: there's a Drill Seargent Nasty training some troops. If you listen long enough, you can hear him say:
Drill Seargent: Congratulations, that was shit! And we give you weapons?