I don't know if it's the funniest moment but I always enjoyed the moment (if memory serves me correctly, Episode 118: The Minstrels) where Murray expresses his doubts about the Fraggles to Cantus. Cantus gives some sort of philosophical response and then leaves. Murray then turns to the other Minstrels and asks if Cantus answered the question, to which everyone shakes their head negatively. Murray then replies that he thought as much. For it's time, that was a rather sly and mature joke for a show aimed squarely at kids.