On repeated viewings, when you realise that the guy who gets killed in the bathroom to demonstrate rule #3 is the same guy who gets conned by Wichita and Little Rock in their flashback.
The appearances of the rules on screen when they're applied. The words appear on the screen, always in a manner appropriate to the scene - and when "Enjoy the little things" floats over a destroyed tacky souvenir shop, cracking, creaking and the word 'things' about to fall off the sentence at any moment...it's a hilarious visual gag.
Even better is the rule #1 Cardio.
As Columbus runs from the zombies at the gas station, the rule appears and one of the zombies smashes hip-first into the rule and breaks it. In lap two, that zombie is limping far behind.
Columbus giving both barrels to not-actually-zombie Bill Murray.