"I'm gonna go have a smoke right now. You want a smoke? You don't smoke, do ya, right? What are ya, one of those fitness freaks, huh? Go fuck yourself."
Sullivan goes to meet with Frank in a porno theater (with Costigan attempting to tail him). The guy sitting in front of his is obviously masturbating, and getting louder. Just as it sounds as if he's about to cum, he stands up and shows his dick to Sullivan... only for it to turn out to be Costello with a black flesh-colored dildo sticking out of his pants!
The cranberry juice scene. Just sheer shocking brilliant comedy.
Colin: Do you have anyone inside Costello's organization now?
Dignam: Maybe. Maybe not. Maybe fuck yourself.
After Barrigan shows up and saves Sullivan's ass, Sullivan looks at him and then, almost innocently, blows his head off.