Acceptable Targets - Italians (at one point in Pinocchio's stages some crazy drivers try to run Red and Momo down) and Chinese people (the fourth level looks like a "parody" of Communist China).
Accidental Innuendo - In the player selection screen, upon choosing Red, she'll say: "Let's do it!". Maybe not so accidental, after all...
Crazy Awesome: Momotaro's gun fires shuriken. And obviously the entire game is crazy awesome.
Demonic Spiders - Two enemy types introduced in the second-to-last level before the final boss. The first one is a giant flying insect that shoots homing energy balls, takes a ludicrous amount of damage with the basic weapon, and is often positioned in the upper DS screen so that you can't hit it with the powerful close range weapons or the grenades. You often fight two or three of these at one time. The second one is a Cthulhu-headed mutant that stands still while shooting lanterns that home on you; when you kill it the tentacled head detaches from the body and runs after you! Of course you'll find them coupled with the above insects, other annoying enemies (flying heads that shoot bullets) and environmental hazards, making for a short but nasty level.
Most Annoying Sound - The continuous giggling of the evil dolls. Having more than two on the screen at one time can drive a player crazy!