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 Accidental 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
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.
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. Then he wonders if any of his enemies ever felt that way about him.