Aside from all of Ren's hilarious dialogue (or just, Ren's dialogue, he's just naturally funny, a nice contrast to Ryo), the conversations from the wiretapper tapes have some really great moments. While you can skip them to get to the call you need to progress the story further, its far more fun just listening to some of the hilarious calls.
Oh, and hide and seek against Don Nui cracks me up as well... Hope that they keep this up in Shenmue 3 - the misadventures of Ryo of Ren were really entertaining in 2.