The black-and-white sequence in the middle, where Penn is writing and narrating an overdramatic journal of "the hunted". Every single little thing in it, from the music, to Penn's clothing, to the ridiculous secret knock, to Teller's sunglasses, to the way Teller accidentally hits himself with the door when trying to close it but acts nonchalant, to the fact they're eating cocoa puffs of all things, to Teller's ninja tricks, is hilarious, but it becomes even better with Penn's insanely over-the-top, faux-dramatic narration.
Penn: I'm smoking way too much, and drinking much too much... *beat* ...cola. I haven't slept in so long that I'm... really tired.
The airport security sequence where Teller pranks Penn into constantly setting off the metal detector.
Penn's attempt to stall the fake surgeons from operating on him by constantly hollering non-sequiter things (like the lyrics to "American Pie") as Teller takes his sweet time trying to rescue Penn.
The ending, full stop. We go from perfectly serious suicides to so ridiculously many suicides that it becomes priceless.
There's also the brief moment when the suicides start becoming funny, where Carlotta begins laughing hysterically, spins around in circles, and leaps like a ballerina out the window.