Debbie gets captured by the Comanche (Situational Irony)
When the Comanche come to attack the Edwards' home, Martha urges Debbie to go hide by her grandmother's grave, for her own protection from the Native Americans. Ironically enough, as soon as Debbie goes outside to the grave, she is apprehended and kidnapped by the Comanche. Her mother's safety advice only puts her into more danger.
Futterman on the rock (Dramatic Irony)
As Marty begins to drift off to sleep next to a campfire at Futterman's trading post, Futterman appears on a rock nearby and begins shooting at what he thinks is Ethan's sleeping body. In this moment, two instances of dramatic irony are occurring. The viewer can see that Futterman is on the rock, while Marty cannot. Also, we know that what looks like Ethan's sleeping body is actually a pile of his bags and blankets.
Debbie wants to stay with the Comanche (Situational Irony)
The entire plot of the film revolves around Marty and Ethan tracking down Debbie and bringing her back to white civilization. Ironically enough, after years of living among the Comanche, Debbie does not want to return to the white world, preferring to continue to live as one of Scar's wives. The entire conflict of the plot is undermined not by the actions of the Comanche, but by Debbie's decision to stay.
You Don't Suppose They're Throwing a Party for Us (Dramatic Irony)
When Marty and Ethan arrive back at the Jorgensens', they hear a group of people having a party inside, and Marty wonders if they are throwing it for them. In reality, as the audience knows, they are having a wedding for Laurie—the last thing that Marty would want to celebrate. Marty has no idea and thinks that maybe they are exciting about his homecoming.