A couple of gems I found funny in the training grounds:
--The training schedule: "21:00 Bedtime & hot milk "
--When the doctor asked if he could "borrow" your Dark Knight. If you say "yes," the Dark Knight freaks out and says "WHAT? NO!" (I thought the voice acting came off really well for that.)
Also, someone else mentioned it, but I thought the Dark Knight berating you for missing the haystack was also well-acted and funny.
Finally, when the Strange Skull asked how you thought a disembodied skull was supposed to get around. ("What do you think, we float?") That was an amusing reference to the floating skull character in PLANESCAPE: TORMENT. (One of my favorite games)