The classic GTAs were hilarious. There was a button solely for making your character burp and fart. The PS2/Xbox GTAs weren't bad either, but 4 is just too damn serious. However, Saints Row made me laugh my ass off more than a few times, and from the look of it, Saints Row 2 is full of even more over-the-top humor.
I also agree with the Ratchet and Clank, Jak, and Crash Bandicoot series.
No More Heroes was funny in a very immature manchild way, and the sense that the main character is a mockery of almost all video game nerds.
Also, last but definitely not least, GODHAND!!! Holy shit this game is funny. It's also one of the best PS2 games I have ever played, I recommend it to anyone who hasn't tried it. Just be warned, it is one hard fucking game.