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The fun starts even before the story leaves Chigaco, in the form of Bob convincing Harry to take him along to Equestria in the first place. He starts with logical reasons, but Harry doesn't buy it, telling Bob that he'll consider bringing him if he reveals why he actually wants to go. Without hesitation, Bob complies:
Bob: You described the population as mostly female and entirely naked. I am not missing out on that.
Seeing as how the ponies are very innocent and are from a different culture to boot, some of the things they say can quite easily become Innocent Innuendo. This has not gone unnoticed by Bob:
When Twilight is about to cast a ponification spell on Harry that would likely damage his clothes:
Twilight: Would you take off all your clothes, please? I’ve got a surprise that I think you’ll like.
Bob:Now we’re talking!
Later, Pinkie Pie visits Harry early in the morning to give him a bag of turnovers. Harry is asleep, and Pinkie encounters Bob:
Bob: I have to ask what you’re doing sneaking into the room this early.
Pinkie: Oh, I was just bringing [Dresden] a sweet little something to get his morning started off right.
Bob laughs uncontrollably
Later on, Twilight inadvertently becomes Bob's owner, causing his usual loud-mouthed crassness to disappear in favor of a much more dignified and professional personality. The Mane Six are at first fascinated by this, but get a nasty surprise when Bob reveals that no matter what, he's always a colossal pervert.
Harry's first thought upon coming back to the house and finding Celestia there?
Please tell me she hasn't talked to Bob.
Bob finally meets his match when Lyra interviews him about humans:
Harry: So, how was working with Lyra? She didn’t take advantage of your delicate sensibilities, did she?
Bob: I wish. She ignored every pass I made, and even when I finally brought the discussion around to human sexuality, she treated it like a science project. She referred to the best bits you humans possess as ‘genitalia’. Does it get more clinical and detached than that? (...) Honestly, the only reason I put up with it all is that [she] came to the interview naked.
Harry musing on Celestia's reluctance to let him help in find Twilight.
If I was in charge of the local utopia and some wizard of questionable morality started blundering around and stirring up ancient conspiracies, I'd probably shoot first and ask questions later. Which would hardly be in keeping with the whole paradisaical set-up. No wonder I don't run things.
"These life-forms appear to be immune to sarcasm, Captain."
Harry coming to an obvious, yet deeply unsettling realization.
Ye gods, I'm the pony version of Thomas.
"Oh thank God, he's trying to kill me again."
The reason Harry hasn't told Murphy or anybody else (except Bob) about the ponies and Equestria is because if he did, the info could get out and the place could be invaded by Lord knows what. It has absolutely nothing to do with the fact that he's close friends with a group of painfully adorable, technicolor talking ponies and he'll thank you to not question his masculinity.
In his internal monologue he later refers to them as the 'Butt Tattoo Brigade'
When Harry has Bon Bon (who's a member of the Order Triune) and Lyra (who isn't) trapped after a short fight, he's annoyed that Lyra keeps on mouthing off to him, seemingly unwilling to accept that he has them completely at his mercy. This prompts him to wonder if any of his enemies ever felt that way about him.
The Humanised Mane cast turn up to meet Harry and appear two states away. Casually asking for directions to their friend Harry who lives in Chicago. Fully expecting everyone to know everyone like they would in Ponyville.
Twilight:Plan A was to arrive normally, thereby attracting as little attention as possible. Given the distance between us and Dresden, that plan is untenable. Unfortunately, that distance also renders Plans B through E similarly untenable Applejack: Do I wanna ask? Spike: No, you do not.
Soon after arriving in Chicago, Pinkie Pie wanders off. When she returns, she's holding a baby. Twilight, Applejack, and Rarity promptly freak out.
Pinkie Pie: Can we keep him? Please? Rainbow Dash: We have to, don’t we? Now that Pinkie picked him up, his mother won’t recognize his smell and won’t take him back to the nest. Twilight: That’s not how primates work, even assuming humans weren’t sapient!
The best part is Fluttershy's reaction. She takes the little boy out of Pinkie's arms, coos at him for a few seconds, and then turns to Twilight.
"I want one." "What?! Fluttershy, we are not keeping him!" "It doesn’t have to be this baby," she said plaintively, her possessive posture at odds with her words. "But I would take really good care of one, honest."
The Mane Six's embarrassing self-introduction to Karrin Murphy. First, they give off multiple warning signs for The Fair Folk and wind up having every weapon in the room pointed at them; then, when Murph says that no sane human female would go outside in Chicago in late September with no underwear on (which she says while pointing at their chests "for some reason"), all six of them proudly drop trou to reveal that she's wrong — they're wearing exact replicas of Harry's embarrassing boxer shorts.