The funniest game I ever played was Grand Theft Auto: San Andreas: I still regularly quote one liners from that game to this day. Honorable mentions to the 2010 remake of NBA Jam, Saint's Row 2 and Manhunt, which despite being one of the darkest and most violent games had some hilarious one liners courtesy of the director.
My old friend and I had a lot of fun with MLB: The Show too, especially when you do something really stupid that would never happen in real life like intentionally walk the winning run in or bean 9 batters in a row. The announcers reaction is priceless!