Mike's Comedy "Killers"
I'd recommend any of these without reservation. Not everything will appeal to everybody, but each item is a classic of its kind.
Bored of the Rings: A Parody of J. R. R. Tolkien's Lord of the RingsOur Dumb Century: The Onion Presents 100 Years of Headlines from America's Finest News SourceNational Lampoon 1964 High School Yearbook
Bored of the Rings: A Parody of J. R. R. To...
by Harvard Lampoon

I wrote the Expert Editor recommendation, so read that.
Our Dumb Century: The Onion Presents 100 Ye...
by The Onion
$12.21
The Onion's most impressive single work; super-smart, wildly accessible, and graphically pristine.
National Lampoon 1964 High School Yearbook
by P.J. O'Rourke

Kenney and O'Rourke at their best. Quintessential Lampoon which still holds up today.
The Daily Show with Jon Stewart Presents America (The Book): A Citizen's Guide to Democracy InactionLife of BrianThe Monty Python Matching Tie and Handkerchief
The Daily Show with Jon Stewart Presents Am...
by the writers of The Daily Show

Too early to tell how this will hold up, but it's really solid work from the consummate pro's at The Daily Show.
Life of Brian

A classic--just as funny as Holy Grail, but more important. Especially in our Christ-crazed times.
The Monty Python Matching Tie and Handkerch...
by Monty Python's Flying Circus

Along with Previous Record, this fundamentally changed what a comedy LP could be.
Buy This Box or We'll Shoot This Dog: The Best of the National Lampoon Radio HourThis Is Spinal Tap (Special Edition)The Comic Toolbox: How to Be Funny Even If You're Not
Buy This Box or We'll Shoot This Dog: The B...
by Various Artists

Pre-SNL Belushi and Chase, Chris Guest, plus Michael O'Donoghue and the rest from NatLamp.
This Is Spinal Tap (Special Edition)
$9.99
Classic mockumentary following the world's lamest metal band. Still the gold standard.
The Comic Toolbox: How to Be Funny Even If ...
by John Vorhaus
$10.17
Inspired? The Second City gives this to their writing students. Do the exercises and you'll be on your way.