Milner rummaging around inside someone's head to retrieve her bullet.
The fingernail torture scene from the first episode of Series 2.
Wilson carving the Chinese character for "rabbit" into his torso as he becomes the new Mr. Rabbit.
They Wasted a Perfectly Good Character: Mr. Lee is shot and taken out of commission after one episode in the first series and is presumed dead. He turns out to have survived being shot but has very little impact in the second series before being shot again in the series finale.
The Woobie: To varying degrees, almost all of the main characters but especially Grant and Alice.