In The Dreaming #10 the protagonist Bridget is in the dreaming and wonders to Matthew if she's dead. In bursts her third grade teacher, a nun. Keep in mind people only go to hell in this universe because they have some kind of internal guilt or desire to be punished.
Matthew: You're catholic? Shit! Run for it!
He may be a bastard, but Loki's account of pranking Thor is still pretty epic:
"Many years ago, I convinced Thor of the Aesir that the reason for his impotence was that he was pregnant (he's not very bright). And I told him to lie face down and naked on his sleeping furs until I came and delivered him of child. I was disguised as a wandering physician. So I fed him a gallon of castor oil, painted his arse blue and shoved a cork in his bum-hole. I told him it was the cure for his condition. Then I went off to sleep with his wife. So Thor is lying face down with a cork up his fundament for a week and a day, while his insides continue to rumble their course. And now he's got a pain in his gut like you wouldn't believe, as the pressure continues to build. I'd told him he might experience some pain. That it was common in pregnancy. Suddenly, into the room, through an open window, bounds Ratatosk, the squirrel who lives in the branches of the world tree. Ratatosk is curious as any little squirrel. And he climbs on top of Thor's squirming, straining buttocks, and he—pulls out the cork. THRRRRRPPPPP! It's an explosion — eight days' worth of oiled shit thunders forth from the fundament of the Lord of Storms. And the mighty Thor sits up, and looks around, and sees Ratatosk on the ground, stunned, gassed, and befouled. And slowly, with hands as big as ham hocks, he picks up the little animal, and stares at it. And then, with one ponderous motion, he clasps it to his bosom. You're ugly, he says, you're hairy, and you're covered in shit. But you're mine, and I love you!"
During Brief Lives: While seeking Destruction, Dream and Delirium go on a road trip. Delirium ends up driving. Neither of them know anything about driving. Matthew the Raven ends up as an impromptu driving instructor, despite the fact that he died while driving drunk. To top it off, Tiffany tells Ishtar she just had a "vision" of a raven shouting at her to...
Matthew, on the following page: Drive on the right! You'll kill us all! Drive on the goddamned right! AAAAAAGH!
Also during Brief Lives, when Dream and Delirium visit Dream's son, Orpheus, who's found on a tall mountain top, with crevices and whatnot on the only path, and watched over by a family.
Youngest watcher: You two! How did you get up here?
Dream: We walked.
Watcher: You couldn't have just walked up here!
Dream: Nevertheless, we walked.
Delirium: But I'm a really good driver...
During The Kindly Ones, the Corinthian tries to strangle Loki. At one point, Loki shapeshifts into fire. The Corinthian's response? "Oww."
Death throwing a loaf of bread at Dream's head. His expression and the BIP! sound effect just add to the hilarity.
Just before, Dream had effortlessly caught an incoming soccer ball without even looking at it, showing off his perceptive skills. That his elder sister could stun him like that... heh.
A bittersweet one takes place near the end of "The Kindly Ones". When Death meets Dream for the last time after she realises his plan to kill himself, he gives her another loaf of bread in case she wants to throw it at him.
In Seasons Of Mist, the emissary of order takes the form of a cardboard box (a sacred one, of course). In fact, the entire banquet and most of the subsequent negotiations. Partly because there are none more comically serious than the King of Dreams. You can have my balloon if you like. Just look at him!
Also from Seasons of Mist, Cluracan of the Faerie muses what a letter from his Egyptian one-night-stand would be. While miming writing in the air with a finger.
Mmm, Dearest Cluracan, falcon, squiggly line, eye, little-man-holding-a-flail, jug, squiggle, beetle... I see what you mean.
In Preludes and Nocturnes, Doctor Destiny explains his supervillainous plan to the Scarecrow before escaping Arkham. The Genre Savvy latter responds in almost head-patting fashion.
Doctor Destiny: Shall I tell you what I'm going to do?
Scarecrow: Tell me. Tell me.
Doctor Destiny: I'm going to get the ruby back. The Mat. The Mat. The Mat-er-i-op-ti-kon. And then I'll drive everybody in the whole wide world mad. And then they'll make me king.
Scarecrow: It sounds scary. Have a nice time. And you must promise when you get back - to tell me all about it.
In The Doll's House, Rose writes a letter complaining about all the weirdos in her apartment building, and says at least the landlord is normal. At that very moment, the landlord bursts into her room in drag, delivers a magnificent rant about the song cut from his show, tops it off by calling the director an asshole, and leaves without another word, slamming the door.
Well, relatively normal, anyway.
In the spinoff At Death's Door, Despair... has an admirer. Her reaction is almost pure Tsundere.
Pretty much all of Delirium's visit to the Dreaming in Brief Lives.
In The Kindly Ones, Rose has an Erotic Dream involving her and her ex-boyfriend, but halfway through finds Abel on top of the cupboard, peeping at them. Abel of all people voyeuring at erotic dreams and trying to stammer an explanation is funny in itself, but what really seals the deal is the popcorn he had.
Gaiman wasn't allowed to have a character discuss the act of masturbation, because, he was told, masturbation doesn't happen in the DC Universe. He replied that this explained quite a lot.
At the end of The Kindly Ones, when Lyta awakes from her trance, the book Thessaly is reading is titled "When Real Things Happen To Imaginary People". One assumes that the back cover features pull quotes from Joss Whedon and George R. R. Martin.
From The Sandman: Overture #2:
Morpheus: Am I always like this?
Egyptian!Dream: Like what?
Morpheus: Self-satisfied. Irritating. Self-possessed, and unwilling to concede center stage to anyone but myself.
Egyptian!Dream: I believe so, yes. In my experience.