Isn't this why we
all get married?

Marcurio really is a great follower, and his dialogue is some of the more diverse and entertaining. The funniest thing I remember with him was an incident that nearly resulted in his death. We were sneaking through a Nordic ruin and ahead I noticed a pressure plate near a hallway turn. I navigated around it and noticed it was one of those swinging-spiked-gate traps. Satisfied that I had avoided that, and with Marcurio following a short distance behind I stepped forward and right onto the
other pressure plate. I turned around just in time to see the gate swing quickly behind me and smack Marcurio all the way back into the wall. I waited patiently for his health to regenerate enough for him to stand up again, and then we moved on. Soon after we were on a high bridge
loaded with pressure plates and a long drop down. I was thinking how to navigate it when Marcurio spoke up meekly from behind,
"Please try not to set off any traps." 
That's some Master level Guilt Tripping, I tell you what.
The thing that really sold me on him was the first time I ever heard his response to the "trade items" command. I had only used Lydia up to that point, so... yeah. One of the major reasons I wanted to be rid of her. When he broke out his line I actually lolled. One could argue that the attitude displayed should be just as irritating, but somehow it's not. All in the delivery, I guess, and honestly he's got more reason to be offended at the request than she ever did.
Another gem from Mr. I Am Not A Pack Mule, during a brief moment of relative peace while clearing out a really nasty draugr-infested tomb:
"If these ruins frighten you, take comfort in the fact that I'm here."
This is especially funny if you're already a Thu'um possessing, Civil War winning, Companions leading, College of Winterhold supervising, Alduin slaying and Odahviing summoning level 63 Nord warrior wearing Daedric armor and carrying the most powerful self-made weapons ever known to Nirnkind.
