"Looks like I picked the wrong week to give up..." is a great example.
So is the series of literal responses to "What is it?" Answer It's a response that describes the place where the situation is taking place, rather than the situation itself which the questioner wants to know more about, but that's not important right now.
I just want to tell you both good luck. We're all counting on you.
Snake having all of his allies get killed in the end is sort of a Running Gag from the first movie to the second.
Similarly, in Road House, people tell Patrick Swayze, "I thought you'd be bigger." What it lacks in humor it makes up for in homoeroticism.
The Long Goodbye, which features an anachronistic '50s private eye in the '70s has the protagonist not only be the only character that smoked, but as a Running Gag has him light a cigarette in every single scene.
It also uses Medium Awareness as a running gag, as in the murder of the historian, and the old man from Scene 24.
The "dogs can't look up" gag in Shaun Of The Dead is notable not only because it's an effective Running Gag within the film, but is something of a real-life running gag, having originated with Nick Frost during the filming of Spaced, as referenced on the DVD commentaries for both works. Also the "He's not my boyfriend!" is carried over.
"Cornetto." (It's an ice cream.) Appears in all their movies.
Juno. "Pork Swords". Double hilarity if you listen to the commentary track and find out just how far the filmmakers had to go to get the effect.
Nearly every movie produced by Mel Brooks has the character played by the director spout off the infamous line "It's good to be the king." Copiously repeated again and again in History of the World Part I, seemingly a half-dozen times in five minutes. It was not funny that time.
Thankfully, averted in Spaceballs (he played a president in this movie and didn't use the line or any variant thereof).
The Blues Brothers has lots of them, ranging from the obvious, such as "We're on a mission from God!" to the subtle, like Jake constantly checking his watch which was declared broken in the first scene. (And other people's watches getting broken as well.)
"I have a bad feeling about this." (Uttered at least once by Luke, Han, and Leia. Arguably by Chewie, too.)
Yoda, too: "Bad feeling have I."
Also used by Obi-Wan and Anakin in all three prequels. And by various characters in Star Wars: The Clone Wars. And all over the Expanded Universe. And in various other franchises as gags: from Fanboys to Lost.
Kingpin had two major running gags. One was Roy Munson referring to his 1979 championship ring as "this", only for people to think he's talking about the rubber hand it's situated on (this gets reversed at the end when he actually is talking about the rubber hand). The second is different characters referring to being put in an unwinnable situation as being "Munsoned".
Any Given Sunday had the third-string quarterback, Willie Beamen to throw-up in the middle of the game. Every time the Sharks were playing.
"Paul" - 'Three tits? Awesome.'
Also, everyone asking if Graeme and Clive are gay.
"Who the hell is Adam Shadowchild?"
In many of the Harry Potter films, if Seamus is on screen chances are he's about to accidentally blow something up. Given a fantastic send off in Deathly Hallows Part 2, where McGonagall tells Neville to enlist Seamus' help blowing up the bridge due to his "proclivity for pyrotechnics."
Ron's dislike for spiders is a cruel irony in the second movie, but becomes lighter later, with things like Ron mumbling in his sleep, "The spiders. They want me to tap-dance. I don't want to tap-dance," and Harry mumbling back "You tell those spiders Ron."
Several in The Gumball Rally. Lapchick's madness, Franco's womanizing, the Rolls-Royce...
Star Trek: Kirk trying to find out Uhura's first name (a shout-out to the fact that she never had one in the original series).
A literal running gag: Kirk suffering from various adverse reactions to a vaccine he was given, running down the halls trying to get to the bridge as McCoy repeatedly gives him shots to counteract the symptoms.
Iron Man has the running gag of one of Tony's inept helper bot arm... things... having a propensity to hose him down with a fire extinguisher at a drop of a hat. First time is when his jet boots fail (in that they were set too high and flung him face first into the ceiling). Second time was him threatening the bot not to do it. Third time was at the end of his Mk 2 flight; First, Tony breaks the ceiling and floor of his house, then smashes a grand piano, then one of his expensive cars... then gets hosed off by the extinguisher bot again. Tony can only lie his helmeted head down in tired frustration.
Speaking of the car scene, Iron Man unintentionally wrecking other people's cars occurs a couple of times per movie.
Also, there's Agent Coulson insisting on stating the full acronym for S.H.I.E.L.D. ("Strategic Homeland Intervention Enforcement Logistics Division") several times when introducing himself to others.
In Lethal Weapon, starting with the second movie, Riggs would occasionally dislocate his shoulder (though in the second movie he does it intentionally to break loose of a strait jacket) and then bang it on a wall to put it back in its place. It occurs in the third movie when Riggs falls off a bridge while on a motorcycle then in the fourth movie during the final showdown with Wah Sing Ku when the villain dislocates his shoulder.