I was just thinking about one of my favorite scenes is where Tony gets told by a NY boss that, "The Don dont wear shorts". Tony's reaction is priceless. Essentially, he is being told to maintain a level of prestige and respect that his title expects. IT's also a dig from the NY families that see the New Jersey family as beneath them. These little nuances and scenes are so expertly executed throughout the series.
There is a Talking Sopranos podcast with Michael Imperioli (Christopher Maltsonti) and Steve Schirripa (Bobbie Boccola) where they talk about filming the series and some behind the scenes stories. One is about a strange middle of the night phone call James Gandolfini received. Some person, some how, got Gandolfini's phone number and called him in the middle of the night. All the person said was, "...The Don dont wear shorts..." and hung up. Gandolfini told Chase about it and they decided to write into the show. That little tid bit just makes the scene a whole other level of greatness.