The Digaea games, Sam and Max and the Valve games are the only really funny games of recent times.
One game I have an issue with, though, is Eat Lead. If this is what humour in video games amounts to, it saddens me. It appears the writers went to the ________ Movie school of parody by simply copying scenes from much better games and slapping it in there. Yeah, a lot of games are set in grey-brown warehouses. We know. How do we make a joke about it? Set a level in a grey-brown warehouse you say? Genius!