Since the other two posts on this community have examples from Breaking Bad, I'll add that to this one:
Walt admits to Hank on two occasions (iirc) that he's up to some illegal activities. In the first season, I think when Hank helps him load some duffel bags full of cash into his car, he asks what's in the bags. Walt says, "Half a million in cash," and then they share a laugh.
In a later season, when Hank finds Gale's notebook is tributed to "W.W", Hank jokingly suggests maybe it stands for "Walter White". Walt puts his hands up and says, "You caught me."