Donkey was supposed to be exactly as annoying as he was. I guess Gollum is annoying in the ROTK commentaries, but not in the film. Besides, I have a better list: Michael Moore, Farenheit 9/11. Michael Moore, Bowling for Columbine. Michael Moore, Roger and Me. And you cannot forget the ensemble work for Canadian Bacon.
Did you ever see the Gollum easter egg on TTT? It was extremely funny.