For comedy series, I would recommend Azumanga Daioh, Cromartie High School and Tentai Senshi Sunred as shows which put some actual thought into their humor and don't just go crazy for no reason or reference other things. If you want action and excellent character development in addition to humor, I would recommend the TV series and OAVs of Kidou Keisatsu Patlabor (the movies are excellent, but not funny).
The absolute funniest anime tends to be the so-bad-it's-good stuff like Crystal Triangle, Baoh and MD Geist. The kind of thing you get together with some friends and mock mercilessly.
Whatever you do, DO NOT WATCH Bokusatsu Tenshi Dokuro-Chan. It's a terribly written mishmash of overused cliches, poorly animated gore and pedophilia (which is NOT mitigated by the fact that it tries to be self-aware about this).