Man, Michael J. Fox really pulls off that "I was just nearly hanged" look and voice at the end, doesn't he? Well, this was somewhat aided by the fact that he was seriously nearly hanged while shooting this scene. Most of the "Marty's almost killed" shots in this movie were done with a stuntman, but obviously they needed to show the actor's face at some point or people would ask for their money back, so for this sequence they had Fox stand on top of a box and put a noose around his neck.
However, director Robert Zemeckis just could not get this to look realistic, so Fox offered to do it without the box, relying entirely on careful hand placement on the noose to keep himself from asphyxiating. This worked for a few takes, but on the third one, Fox missed his hand placement and was really strung up by his neck, like a common pig burglar.