I've seen a lot of the old classics that I love mentioned. Blazing Saddles, Spaceballs, Young Frankenstein, Holy Grail, Life of Brian and so on. A couple more old classics: Take the Money and Run and Sleeper.
How about some great comedies in the last 20 years? That gets a little tougher. Tropic Thunder is definitely an all time classic. One that has really grown on me is This is the End. That movie is ridiculously funny.