Not a comedy but probably the best movie I've ever seen was Memento. It's a movie you have to sit and concentrate on. It gets better with frequent viewings.
I can't say I'm a big fan of comedy films in general, as I'm more of an action film/epic enthusiast, but here are my favorite comedy flicks:
Monty Python's Life of Brian
Monty Python and the Holy Grail
South Park: Bigger, Longer, Uncut
Animal House
Up in Smoke (yes, I admit I liked Cheech and Chong)
I'm an avid James Bond fan and here are the favorites that stand out to me:
From Russia With Love
Goldfinger
Thunderball
The Spy Who Loved Me
Octopussy
Goldeneye
Casino Royale
Some action movies I liked:
Batman
Batman Begins
Terminator
Terminator 2
Pirates of the Caribbean 1
Star Wars Trilogy
The Matrix Trilogy
X-Men
Die Hard
"Old school" Action films:
Rocky I (for nostalgia's sake, I also liked Rocky IV)
Bullitt
The French Connection
Gone in 60 Seconds
The Italian Job
Westerns:
High Noon
Once upon a Time in the West
The Alamo
True Grit
The Magnificent Seven
Unforgiven
Hong Kong/Kung Fu Action Films:
Fist of Fury (The Chinese Connection)
Enter the Dragon
Way of the Dragon
Shaolin Temple
Once Upon a Time in China
Fist of Legend
Crouching Tiger, Hidden Dragon
House of Flying Daggers
Hero
Fearless
Iron Monkey
Anime Feature Films:
Akira
Ghost in the Shell
Akira Kurosawa:
The Seven Samurai
Throne of Blood
Rashomon
Stanley Kubrick:
Dr. Strangelove
A Clockwork Orange
Full Metal Jacket
2001: A Space Odyssey
War Films:
Apocalypse Now
The Guns of Navarone
The Bridge on the River Kwai
Saving Private Ryan
Where Eagles Dare (yeah, I know it's kind of corny)
The Great Escape
The Killing Fields
All Quiet on the Western Front
Stalag 17
Epics:
Lord of the Rings Trilogy
The Godfather Trilogy (esp. I & II)
Ben-Hur
Totally Random:
The Shawshank Redemption
Cool Hand Luke
On The Waterfront
Marathon Man
Green Street Hooligans
West Side Story (I only liked it for the cool whistling)
Fever Pitch (the documentary on a die-hard Arsenal fan, NOT the Jimmy Fallon movie of him being a Red Sox fan)
Escape to Victory (a war film determined by a soccer game with Pele and Bobby Moore in it)
Wrestling Documentaries:
Hitman Hart: Wrestling with Shadows
Forever Hardcore
The Rise and Fall of ECW