Aaron, since you watched the first season... you might remember my favourite scene.
Dick sits in his office and warily opens a children's pop-up book. As soon as the book unfolds and the picture pops up, he starts hammering it frantically.
I absolutely love it.
Another one is the serenading at Mary's window, singing an Italian song and playing folk instruments, while dressed in quasi-national costumes. Their facial expressions alone! The scene just cracks me up every time. I don't think it was in Season 1, though.
BTW, Lithgow has confessed being a huge fan of Cleese, and therefore he had been totally chuffed to learn that Cleese would guest in an episode.