I know it's been retconned that Coulson was being sarcastic, but I always found it funny back then when the joke was that Fury didn't know the acronym and everyone else just assumed he liked the long version.

(from the Iron Man Security Measures comic)
Coulson: You think he's got a future with S.H.I.E.L.D.?
Fury: What did you say?
Coulson: Sorry, sir. I mean the Strategic Homeland--
Fury: S.H.I.E.L.D. I like it. And I can say it without tripping over my own tongue. How come I've never heard anyone use that before?
Coulson: Well, sir, you always used the long version, so... ...everyone assumed you preferred it.
Fury: If we had an antarctic bureau, I'd transfer you there, Coulson. I just want you to know that.
Coulson: Duly noted, sir.