The entire scene involving Jensen infiltrating the office building.
"Her gun! It's pointed at my dick!"
Pretty much ANYTHING that comes out of Jensen's mouth is a hoot.
"Ready to take a giant step for...guys who steal stuff I guess."
'What the hell was that? That was a 'hit him in the face' nod, not a 'throw him off the roof' nod.' Max is an evil bastard, but damn if he isn't hilarious.
Max: Do you have any fours? Scientist: Go fish? Max (looks at his hand, revealing he has several fours): Well, actually no, you have several fours here. You don't actually know how to play this game do you?
Max getting mugged at the end. It makes it better just how nonchalantly he takes it.
This exchange during the final confrontation between Clay & Max:
Max: "So, since you can't shoot me..."
Clay: * shoots Max in the shoulder *
Or this exchange:
Roque: If anything smells like a trap, I get to put a bullet in your skull. Does that sound fair?