I agree about Anchorman, definitely in my top five funny movies. There is another Anchorman movie called "Wake Up, Ron Burgundy" that is pretty funny as well.
Some more that I think are funny:
Zoolander
Idiocracy
Super Troopers
Best in Show
Nacho Libre
Tropic Thunder
Hot Rod
Yes, Hot Rod really is funny, plus you can watch it in front of the kids. We sold back a grocery bag full of DVDs that we used to like a lot, but are just too dirty to watch now that we have little ones.
Dodgeball, Blades of Glory, and Balls of Fury are great, we own all of them.