*WARNING! SPOILERS BELOW! (but i'm guessing most people here have already completed the game several times anyways)*
*Wining and Dining on the company dime.
At Outer Heaven, you can order several drinks and servings of bufallo meat. You can order each item three times, and when you leave, you get a hefty bar tab. Gillian uses the company cash to pay for his whittles. And if you head for Junker HQ, and Chief Cunninghams office, the Chief scolds Gillian for "wining and dining at our expense". It's hillarious!
*Neo Kobe Pizza.
If you look around before you head into Platos Cavern, you can eventually order Neo Kobe Pizza from a street vendor. A hillarious cutscene follows.
*Gillian the murderer. (Thanks to The Kremlin for telling about this)
After you finish the final boss in the game (the hords of Insectors and Snatchers at the Kremlin), you open the final door, and you see a silhouete of Jamie. If you do nothing, the game ends as normal, but if you shoot the shadow, you end up killing Jamie, and you get a short cutscene, and then the Game Over screen.
Well, that's only a few of my favourites. I know a lot more, and i'm sure you know them all too. Feel free to share them. Who knows? We might learn a few new ones!