I think it starts the idea they get back to in their last conversation. Lord Caldlow thinks he's making sacrifices by slumming it as a commoner in order to be a magician, but he doesn't realize that is nothing compared to types of sacrifices other magicians will make for the craft. Or that he'll be making by the end…

The one that really gets me when rewatching is the scene with the old Chinese magician and the fish bowl trick. Afterward Borden says that the magician isn't actually old and that his whole life is an act for the trick, and Angier just dismisses him saying that no one would make those kind of sacrifices for a trick.…