Joachim's introduction as Grand Papilion intro speech. (Especially considering the sinister music that plays just prior), with the entire party going 'what?'
Ditto to the next dungeon where Joachim has a complete Cheesy confrontation with Veronica... Where he is powerless till he gets his mask back
This particular moment from the second game:
Yuri: Bite me.
Asmodeus-Rasputin: No, it is YOU who will bite ME!
Astaroth: What do you wish, human?
Yuri: I wish you'd shove it. You know where.
In Covenant, the Uncanny Valley turns what would have been the saddest moment in the game into a funny moment just because Yuri's face looked so ridiculous.
In the first game where a flashback of young Yuri talks about how he wants "lots and lots of siblings'" and how "Mom and Dad can make babies if they are together" to his mother. Then the very next scene went downhill from there.
Very early in Covenant once you start using crests Gepetto will try to give one for Yuri to use. Only for him nervously refuse it because he can't use them essentially cementing his status as a BadassIdiot Hero.
The Running Gag where you name Roger Bacon. In the first game, you first meet him and he introduces himself, cutting to a naming screen. And then you get interrupted when he starts looking at the screen and asking if the player thinks they're going to travel together.
When Roger Bacon or rather, Albert Simon makes his escape during the summoning of the Seraphic Radiance, he mocks the heroes by offering them to come to London, to join him in a "spot of tea". He then gets beaned in the head when his protective barrier fails him and actually says 'Doh'.
The entire exchange between Margarete and the street kid Joshua, who keeps calling her 'ma'am' when she insists on being called 'miss'.
Joshua: Really? Thank you, miss ma'am.
Margarete: *sweatdrops* I don't appreciate that phrase.
Yuri: Ha ha! Now that's a brave lad there.
In Covenant, during Lucia's first presentation Yuri is absolutely dazzled by her dance. Just look at Karin meanwhile.
There's also the infamous exchange with Lucia
Yuri: That is one giant pussy. note The party is being attacked by an exotic dancer wearing a skimpy outfit. And a large cat
The Comically Missing the Point when Garan attempts to scare the party in Covenant. While he is attempting to scare them, they are more interested by the fact that he can float on a awesome pillow, and wonder where they can get one.
Take Anastasia to Kurando's mother after you unlocked Kurando's second fusion. Anastasia gets her alternate costume. And a lot of Accidental Innuendo.
In the first game, Yuri on the Smuggler's Boat. He gets severe seasickness and for the first part of the area he cannot even run in the field when you control him. When you talk to Margarete, Yuri almost vomits but Margarete yells at him, so he swallows it. Maragrete then chastises him for swallowing it.
Then in Covenant the group is travelling to Japan and Yuri suffers from seasickness again.
Anastasia: C'mon! Show me somebody that's in danger of dying from seasickness?!
*camera pans to a downed Yuri scratching his ass*
Before the said scene in a Funny Background Event Anastasia is trying to get Blanca to do some trick. Blanca simply pat one of his paws on her head.
Roger Bacon's first scene in Covenant. After he finds out that Yuri and company gave Nicolai the Emigre Manuscript, he launches into an emotionally-driven speech about how he never once revealed its location even while being tortured...only for Yuri to smack him in the middle of said speech.
Johnny's first reaction to Mao is surprise, given that, well, she's a talking cat. No one else seems to notice.
When Anastasia is talking in Edgar's shop about how the forces of Good must stand against the forces of Evil, everyone is enthralled...except for Yuri, who is trying to teach Blanca how to dance.
Yuri gives flashbacks on the plot from the first game in Covenant, complete with hand drawn pictures, drawn in a silly style. The great castle Neameto looks like it has baguettes sticking out of it, and the Seraphic Radiance is reduced to a monster with lopsided breasts and fangs
Pick all the "wrong" options during the interrogation scenes in Covenant and From the New World - also doubles as Video Game Cruelty Potential, when you see characters repeatedly shocked or poked with swords.