I love it when he says 'I'm gonna sneeze! I'm gonna sneeze! I'm gonna sneeze! [sneezes] Sorry about that.' He is the pinical of politeness.
Another favourite of mine is when he walked up to random strangers in Mafia II and said ' hi thar'. That was a good one.
Whenever that Legionary said 'The Slaves are spreading stories of the Burning Man again' or whenever an NPC kept on saying the same thing whenever he talked to them he says 'Hmm, interesting' or 'No I did not know that'.