Nigel plays a beautiful classical piece on the piano:
Marty: What do you call this? Nigel: Well, this piece is called "Lick My Love Pump."
The band discusses with manager Ian their disastrous performance of "Stonehenge":
David: I do not, for one, think that the problem was that the band was down. I think that the problem may have been, that there was a Stonehenge monument on the stage that was in danger of being crushed by a dwarf. Alright? That tended to understate the hugeness of the object. Ian: I really think you're just making much too big a thing out of it. Derek: Making a big thing out of it would have been a good idea.
And after the manager has quit:
Derek: [Sober] Can I raise a practical question at this point? David: What? Derek: [Innocently] Are we gonna do "Stonehenge" tomorrow? David: No, we're not going to fucking do "Stonehenge".
And for that matter, the actual "Stonehenge" performance. Even though the scene before pretty much announces what's coming in huge neon letters, the actual payoff (complete with dwarfs earnestly dancing around it) somehow manages to be the funniest visual gag you've ever seen.
Epitaph: "Here Lies David St. Hubbins. And Why Not?".
"It's like, how much more black could this be? and the answer is none. None more black."
Derek trying to get through airport security with a foil-wrapped cucumber in his pants.
The band getting lost trying to find the stage (while already in the arena).
They meet a maintenance man who gives them extremely convoluted directions to the stage. Not 30 seconds after they set off following his directions, they double back and end up exactly where they started.
At Elvis's grave:
Nigel: Well, it really puts a perspective on things, though doesn't it? David: Too much! There's too much fucking perspective now!
At the air force base
If I could just ask you to play some slow songs so I can dance? David: Working on a SEX FARM!
Made all the funnier by the fact that this was a fairly slow song- by their standards, anyway!
A meta-example: All of the stories from bands who claim that the film is way too close to reality.
The DVD commentary is arguably funnier than the movie. The bands most pointed barbs are at Marty, Ian, and poor Viv.
David:(when Viv grotesquely mugs at the camera) That was Viv's passport photo.
Derek:(laughing) That's cruel! (beat) You know he couldn't afford a passport.