The captain answering a phone: "This is not even my desk!"
Mills mispronouncing the Marquis de Sade, "the Marquis de Sha-Day''.
Somerset and Mills escorting serial killer and villain John Doe to the outskirts of the city. Getting out of the car, Mills asks Somerset if he found anything. "A dead dog". Cue in Doe's deadpan voice: "I didn't do that."
After the coroner has examined the Gluttony victim and determined that the bruise on his temple most likely came from a gun pressed hard against it, Mills says in his best Dragnet-esque voice: "Ladies and gentleman, we have ourselves a homicide." Somerset turns and looks at him in sheer bemusement.
As they are investigating the Greed murder, Mills asks Somerset if he'd like a drink, to which Somerset requests a glass of wine. Instead of a wine glass, Mills gets him a tumbler filled with wine.
When Mills and Somerset are woken up, Mills is curled up on the bench, his head nearly in Somerset's lap. His embarrassment is priceless.
On the commentary, Pitt remarks that there was originally a scene where Mills and Somerset discussed "thumb recall"; cut off the thumb of anyone convicted of a violent crime, and there's no way they'd be able to fire a gun. The scene was ultimately cut from the film, because they were afraid someone would "roll with it."
In spite of the creepiness, there is something rather darkly comedic about the extract from John Doe's journal Somerset reads aloud:
On the subway today a man came up to me to start a conversation. He made small talk, this lonely man talking about the weather and other things. I tried to be pleasant and accommodating, but my head began to hurt from his banality. I almost didn't notice it had happened but I suddenly threw up all over him. (beat). He was not pleased, and I couldn't stop laughing.
When Mills and Somerset are knocking on John Doe's apartment, Mills petulantly grumbles that the whole situation is "retarded" and that he feels like one of "Charlie's fuckin' Angels".