Alistair has a fondness for cheese that comes out during one of the party banters. I forget how it goes, exactly (sorry!)
As for the "erected" bit - this happens during the "Return to Ostagar" subquest in DAO, when the party wanders by the bridge, on the way to the Tower of Ishal, and see that the darkspawn have nailed ex-King Cailan up on a vaguely cross-like construction,
wearing nothing but his underpants. Unfortunately, this means that he has a rather large... bulge...
which is where the joke comes in. Ahem.
I don't find it particularly funny, but each to his own.
Any others you're not remembering? I'm replaying DAO right now, so I can decipher them.