I see a lot of the classics (Holy Grail, Blazing Saddles, etc.) have already been mentioned, so I’ll try to supply a few less common ideas.
Top Secret (young Val Kilmer actually sings; same creators as Airplane!)
Zoolander (”Obey my dog!”)
Mystery Men (misfit third-rate superheroes)
The Man Who Knew Too Little (Bill Murray gets mixed up in a spy caper and doesn’t realize it)
In addition, I’ll recommend DVDs of two TV series: Futurama and Blackadder (particularly incarnations II through IV). MST3K is not a bad option, either.
Bill Murray. That brings back Groundhog Day (got really funny when he started exploring what he could do with no consequences) and Meatballs (the PA announcements, classic).
How about some comedies from people not so noted for the form?
1941 (Spielberg)
After Hours (Scorcese)
and unrelated to the above list, Amazon Women On The Moon.