A lot of the songs by Flight of the Conchords are really hilarious. Alby the Racist Dragon, The Humans are Dead and Business Time are probably the best. THe songs from the first season are better than the ones from the second.
"There's a Hole in my Bucket" is a classic. Jo Stafford and Paul Weston won the Grammy for best comedy record in 1961, "Jonathan and Darlene Edwards in Paris". You can easily buy Jonathan and Darlene's greatest hits on CD - there's a couple of great ones in there.