After you beat Muggshot, Sly calls him a "canine steroid case."
During Sly 3, you go looking for Murray in Italy, starting with the local police HQ. Sly sneaks in and makes it to the jail cells, running into Dimitri...who then says that Sly must have some serious "fuzzy dice" trying to break into a prison. Think about that for a moment.
In the final operation of Sly 4, you have to distract guards as Carmelita by belly-dancing for them, Sly' makes several pervy comments on this. The kicker? You have to shake the contoller/the Vita to shake her ass. Before that Murray really wanted to wear the outfit instead.
Hell, the first level with the Geisha's, just to let you know, in ancient Japan Geisha were prostitutes!!!!
Actually they weren't. They were entertainers who trained in singing, songs, and dances and performed for guests along with basically flirting with guests to make them feel special while also serving them food and drinks (Plus Geisha literally means "art doer"). Prostitutes were characterized by bright clothing and a bow in the front for easy access.
Plus, when Murray's in disguise as a geisha, El Jefe grabs his ass with a lecherous look on his face.
Also according to the story El Jefe knew about the Cooper Gang's plan of ruining his operation and when he saw Murry in the Geisha outfit he did not flip out or anything. That means he knew of Madame Geisha's imposter was Murry the entire time but didn't mind. (Think of that what you will.)
Madame Geisha's real name? Miso Horny. She's a rhino, but we all know that's just for plausible deniability.
Also, in a game where defeated enemies usually disappear in a puff of smoke, it's a little shocking to see Toothpick accidentally shoot and kill one of his guards. They probably only got away with it because we don't see the actual bullet wound or any blood.
While escaping from a Wild West Prison in Sly 4, Toothpick threatens to cut off Sly's thumbs....and his pinky. This would have been perfectly innocent if it had been written in the plural form...
Related to the finale of the Arabian level, where Le Paradox takes Carmelita hostage. At one point, when threatening to throw Carmelita off the blimp if Sly tries anything funny, heruns his hands greedily along her body, then pushes her over when she chews him out. The last we see of her is being helpless and tied up at Le Paradox's mercy...and then, later, when Sly comes to rescue her, she's back in her regular clothing. What did Le Paradox DO to her...?!