I think Borat has the most growth potential of any of the characters, largely because he's so non-threatening, and people have a hard time being angry with him. He's just brilliant.
I think my favorite Borat bit that aired was still the wine-tasting. I'm amazed he could stay in character after something like ten glasses of wine.
SBC told a hilarious story last week on Stern about a Borat bit that never aired.
The segment was called "Borat's Guide to the New Age." He was in Arizona with some hippy guy who had a bed built underneath a prism (he claimed it was designed by angels). He was massaging Borat, who kept twitching around in typical Borat fashion. The hippy kept telling him to relax. Eventually he left the room, warning Borat that he'd better be relaxed when the hippy came back.
When the hippy returned, Borat was frantically masturbating (or at least pretending to). The hippy freaked out, and within a few minutes, there were 5 police cars there.
SBC decided to stay in character, so when the police asked him what had happened, he said "He says I was touching my hràm, but I did not touch my hràm!" They asked him, "what's a hràm," and not surprisingly he offered to show them. They warned him that, even if he was just pretending to touch his hràm, he could go to jail for 2 years. Unfortunately, they took the tape.
Check your local listings for the Stern interview on E! They haven't set a date to show it, but it was hilarious, and I imagine it'll air eventually.