Arson, Murder, and Jaywalking: When Walt shows the Simpson family Bob's room, a lot of pictures of Bart and Krusty with knives pinned in them are shown, as the words are inscribed "Kill Bart!", "Kill Bart!", "Kill Krusty Too!" and "Buy Milk!"
Cassandra Truth: Bart believes that Walt Warren is Sideshow Bob just based off his voice. He's right and he's almost killed because he believed that he was wrong.
Walt Warren himself. He was set up to look like Sideshow Bob and he had a difficult time telling people who he really was. He even tried warning Bart that he was going to die, but people obviously didn't believe him.
Duct Tape for Everything: As Sideshow Bob explains his Grand Theft Me of Walt, he uses excessive duct tape all over the place to tie Bart to a car chair and gag his mouth; as Bart tries signalling Bob to remove the tape, he puts more duct tape on his already taped mouth.
Eat the Camera: Ends the first act, when Bart runs screaming from "Walt" among recognizing the voice as Sideshow Bob, he runs right into the camera, his mouth turning the frame black.
Jurisdiction Friction: Averted. While Sideshow Bob is at Five Corners (a place where five states meet) by the time Chief Wiggum finds him, police officers from the other states show up to arrest Bob and his only choice is where he'll be arrested.
Noodle Incident: The waitress laments that every man she flirts with is either gay or has no face. Now, the "has no face" part was shown, but the gay part wasn't.
Off on a Technicality: Bob's plan to kill Bart was shooting from a state while his gun-holding hand was at a second state; having the bullet cross another one; having Bart being hit in a fourth state and falling dead in the fifth. No single action could be prosecuted or so Bob believes.
Parrot Expo-what?: When Bart recognizes "Walt's" voice and screams, "Aaaah! Sideshow Bob!", "Walt" pretends not to understand and asks, "Side-what Whom?"
Photoshop Filter of Evil: As Bob starts discussing his murder plan to Bart, the picture goes to some sort of color/black-and-white negative filter, indicating the future action of the plan detailed in slow-motion.
Police Are Useless: Subverted. Bart called Wiggam and had him follow Bob's car using a tracking device. Police officers from other states also show up to prevent Bob from killing anyone in a different state.
Rake Take: Happens when Bob tries following Bart through all five corners of each state in an attempt to kill him... and accidentally steps on a rake that appears out of nowhere, a Call Back to "Cape Feare".
South of the Border: Falling for Walt's look, a waitress misleads the Simpsons into going to Mexico.
Subverted Suspicion Aesop: After spending half the episode trying to prove that Walt was really Bob, Bart eventually decides he was wrong and even takes him up on his offer to go a trip. It's only after he gets in the car does he find he was right and that he really is Bob.