I think the most hilarious thing I've seen in this game is the "bring the prisoners back dead or alive" thing from the local lawmen you encounter on the road occasionally. I go to all of the trouble of rounding up two prisoners, lassoing them and delivering them then he just thanks me, screams "I AM THE LAW!", shoots them both in the head and calmly walks away.
It took me about 2 minutes to stop laughing.
I have to say that Mexico is a bit of a downer though compared to New Austin. The gun battles are better but the characterization is much worse down here. It's an odd contrast to the first area which featured great examples of both.