The first three Monkey Island games were hilarious.
Guybrush: "Can I call you Bob?"
Murray: "You may call me Murray! I am a powerful demonic force! I am the harbinger of your doom! And the forces of darkness will applaud me as I stride through the gates of hell carrying your head on a pike!"
Guybrush: "Stride?"
Murray: "Alright then, roll! Roll through the gates of hell! Must you take the fun out of everything?"
(Background for those who haven't played Monkey Island 3: Murray is a talking skull and Guybrush Threepwood (awesome name, by the way) is the protagonist.)
Also the dark humour in Fallout 3 and New Vegas. Though they might be funnier if, like me, you are a really big fan of those games.