My own two favorite funny moments (which I'm surprised haven't yet been mentioned)...
In
A Long-Expected Party:
Gandalf: "If you don't let me in, Frodo, I shall blow your door right down your hole and out through the hill."
And in
The Council of Elrond (this is one moment that I greatly miss in the films):
"Very well, very well, Master Elrond!" said Bilbo suddenly. "Say no more! It is plain enough what you are pointing at. Bilbo the silly Hobbit started this affair, and Bilbo had better finish it, or himself. ... When ought I to start?"