"Spinal Tap" is a classic. They poked a little fun at The Beatles, so you might miss some of the humour if you don't know much Beatles' background.
Monty Python is also good.
"Salad Days", in which they exaggerate so many injuries and blood is spurting everywhere is funny.
A couple recent movies I liked were "Old School" with Will Ferrell, and "Team America. World Police", with the marionettes.
From "Old School", the scene from the dart in the neck to the mouth-to-mouth resuscitation cracked me up.
I hadn't expected to like "Team America" so much; a friend convinced me to go. I didn't think a movie using marionettes would be very good. But they sure packed a lot into it. It helps if you know about the old show "The Thunderbirds" as well as current affairs. For example, they base some humour on North Korea's prime minister Kim Yong Il, UN weapons inspector Hans Blix, etc. The sex scene is hilarious and so is the vomiting in the alley scene. The song lyrics are pretty funny too (I hadn't paid attention to them the first time I saw the movie, but if you listen to them, they poke fun at a few other people too). I almost choked on my popcorn the first time I saw this movie I was laughing so hard.
Keep in mind, these movies are NOT for children, so make sure the kids are out of the room before watching them.