The Ninja Story
Most "Funny D&D Moments" involve players doing something stupid, but here's one where the player does something smart.

My character is Isawa Shojo, a lawful neutral samurai in a campaign focused on a normal European-style region. Basically, there's an elaborate backstory of how my lord has loaned my services to this Northern noble who blah blah blah. Anyway, the point is, I had been adventuring with a paladin (Adhemar), a rogue/sorcerer (Daverick), and an NPC cleric in the North and had been the brunt of any number of cultural misunderstandings, (many of which begin with, "What do you mean, we can't kill the peasant?"). This is a lot of fun for me, because I like personal conflict but dislike intraparty fighting. So for 8 levels, my character had been getting constant rules and reminders about Northern etiquette and what he is and is not allowed to do.

Then, our DM sent us to my homeland for a few weeks of adventuring. I seized the opportunity to "school" my companions in every aspect of behavior, dredging up every cultural taboo and restriction my mind could come up with (and many I, the player, made up on the spot), so that they would know what it felt like to be Isawa. I informed Adhemar that he couldn't wear his armor in the city and warned Daverick that if he walked around dressed in black and carrying daggers and a short bow, people would think he was a ninja. "What's a 'ninja'?" he asked. I told him never mind, he didn't want to look like one. As an extra perk (for me), no one in my homeland speaks Common, so they had to rely on Isawa to talk to everyone (Isawa has a Charisma penalty, naturally). Having seen few Northerners, my countrymen were inclined to stare and whisper about these strange men I brought with me-pretty much the same reaction I get going anywhere in the North.

During the course of our stay, there was an assassination attempt on a daiymo's heir (not my lord, but one of his allies). Because we are the PCs, we sprung into action, wounding the assassin, but she was capable of limited shapechanging and eluded us. We decided to split up to cover more ground.

The DM followed each of our individual searches, until he got to Daverick. The rogue got extremely lucky and stumbled over the assassin as she was binding her wound. She ran and he pursued. She fled down an alley and right towards an imperial guardsman. The DM then described the assassin (who looked like an average peasant woman) talking excitedly to the guardsman and pointing at her pursuer, the strange-looking Northern rogue (remember, Daverick can't speak or understand the language). The guardsmen gets a determined look on his face and steps forward, adopting a protective stance in front of the woman, and shouts something challenging in the foreign tongue. Daverick begins to panic; he points and blurts out the only word he knows:

"Ninja!"

The guard takes a momentary glance back at the woman, who has started running away, and figures out what's going on. We are, of course, howling in laughter in real life; it was the perfect thing to say at the perfect time, and it so caught us all by surprise (we were sitting around going, "aw, man, he's toast," before). The woman wasn't even a ninja (she was a yuan-ti, as it turned out), but the word had the right connotations of deception that the guard understood. The word "ninja!" still cracks our DM up when he hears it.