Ventriloquist Scene
Do you think ventriloquists are creepy? So do we. Like, a lot. We're pretty sure the whole lot of them will rise up one day and come to get us all.
Apparently Roxie feels this way too, and the creepiness translates over very quickly to her sleazy lawyer's admonitions about what to tell the press. Flynn cooks up a pile of steaming cow poop about how Roxie is the real victim in the scenario, orders her to repeat what he tells her, and gradually gets the press on his side. This makes his case in the papers before he has to take it to court.
Thus is the inadvertently-nightmare-inducing musical number "We Both Reached for the Gun," juxtaposing Roxie's actual grilling by the press with something straight out of a David Lynch movie. Under Flynn's masterful direction, Roxie sits on his lap like a wooden doll, voicing his lines while the press dances on strings around them. Slowly, the press puppets start to move and speak in unison, speaking Flynn's scripted lines just as well as Roxie does.
The implications are obvious: the press is just dancing to Flynn's tune like a gang of puppets, showing us how easy a slick hustler like Flynn can turn public opinion in his favor. Apparently, Marshall wanted to make this point by cementing our inherent unease about creepy dolls and ensuring that we'd sleep with the lights on for weeks.