I like the one where Borat goes to the gym. When on the treadmill he holds on to the handrails but doesn't walk (when treadmill switched on) so he keeps falling off. Also in the gym he gets on a machine (not sure what it's called) where he has to lie face down and lift weights with his feet, but he keeps rolling over on to his back.
As for my favourite Ali-G, it has to be the one where he asks some tech people lots of questions ie:
Could techmology work out what is 9999999999978999999994299999999769999999995999 x 9999999999999999997999865999999934999999999999
He asked many of those and even though they explained that technology could easily work out what all those sums are he continued to ask similar quesitons.