These are a little out of the SF/F catagory, but:
Dead Men Don't Weap Plaid (1982) by Carl Reiner
staring Steve Martin, Rachel Ward
Parody/Comedy poking fun at the film noir 40's detective films. The story is interspersed with clips from detective films of the past making for some funny interplay between Steve Martin and stars like Humphrey Bogart.
The Adventure of Sherlock Holmes Smarter Brother (1975) by Gene Wilder
staring Gene Wilder, Marty Feldman, Dom DeLuise, Madeline Kahn
Always makes me laugh, done in a very "Mel Brooks" style, about what the title says.
Pizza Man (1991) by J.F. Lawton
starring Bill Maher
Bill Maher pokes fun at all the politics of the eighties. This is one you like or hate, I find it hysterical. Another parody of 40's detective style, but set in modern day. "All I want is my $15.23!"
Miller's Crossing (1990) by the Coen Brothers
starring Gabriel Byrne, John Turturro, Albert Finney.
1930's mob story, whenever I see it I want to play a Gangbuster's game.
and finally two SF/F ones that are on my shelf:
Strange Days (1995) by Katheryn Bigelow, written by James Cameron
starring Ralph Fiennes, Angela Basset, Juliette Lewis, Tom Sizemore
Cyberpunk style plot, (IMHO) a great story. Cameron always gets me involved with the characters.
The Abyss (1989) by James Cameron
starring Ed Harris, Mary Elizabeth Mastrantonio, Michael Biehn
People were disappointed in this one when it came out, expecting it to be an "alien invasion story". It isn't, it's a story about people. Another well written (IMHO) story by Cameron. If you're going to watch it, I recommend first finding and reading the novel adaptation before you do (which was penned by Orson Scott Card of Ender's Game fame and was written at the same time they were shooting the film. In the preface, Orson relates that Ed Harris and Mary Elizabeth Mastrantonio both read his book chapter on their character's background to ready themselves for the film. Also includes in the novelization parts that were cut from the film which enable you to understand just what the heck is going on).