In the second mission's third level, one room has a pair of Nazis recovering from a chase...(Accents removed for clarity)
Nazi 1:phew ...I think we lost them...
Nazi 2: Oh, thank God.
Nazi 1: ...Hey, where are we?
Nazi 2: Hmm... I think we lost us too.
Several amusing safety notes can be found scattered around, particularly one describing a typo in the cablecar maintenance manual (that resulted in several deaths) and a stern warning not to brew coffee in the rocket-plane's fuel mixing system.