I prefer Blake Edwards' The Party although I don't know if it is my favorite comedy of all time. I'll have to think on that one (I like the Marx Brothers and the films have their moments to be sure but there is also some downtime that keeps them from being "the funniest" film of all time).
Olsen & Johnson's Hellzapoppin' is almost non-stop gags (even in the musical numbers) but it is virtually unavailable. It WAS released to DVD in Australia but that disc is now out of print (I bought 2 copies when I saw it was on clearance for under $5 online).
The first naked gun movie is still one of my favorite comedies. No matter how many times I see it, I'll still laugh at the "baseball bloppers" part
Caddyshack would be up there also.