I was going to recommend the boxed set my father had but it looks like it is no longer available.
My mother, who went back to finish college at Brown in her 40s, likes to tell the story of one of the earnest young co-eds who waxed on about Evelyn Waugh’s perspective as a woman really informing her writing.
Of course it’s only dumb luck in who I was raised by that I know he’s a guy.
Gregory McDonald’s Fletch series fit. Mystery novels. Don’t go by the movies that were made of the first two.
This thread would be incomplete without a mention of P. G. Wodehouse. Pretty much anything of his would work.
P.G. Wodehouse. Especially the Wooster and Jeeves books. Wodehouse was arguably the wittiest writer of the 20th century.
Kinky Kinky Kinky. Friedman that is.
Talking It Over and its rather melancholy sequel, by Julian Barnes. These novels concerning a messy love triangle are unusually structured: the chapters alternate in their point of view, with each narrated by one of the triangle members, speaking directly to the reader. So they’re all chat, but not chatty in the conventional way. The snobbish bohemian Oliver (the guy who seduces his best friend’s wife) is often hilarious.
They’re not great literature, but they are definitely entertaining. My favorites are the original Fletch (unfortunately, McDonald toned down the character from being a complete anti-hero in later books) and Fletch’s Moxie. Fletch’s Fortune and Fletch Won is pretty good, too. Ignore the Son of Fletch novels, which can charitably be described as disappointing. The Flynn novels (a spinoff from a character in Confess, Fletch) are okay, but not outstanding, and Love Amongst the Mashed Potatoes is a good non-Fletch read. As Sean says, totally ignore the films, which are strictly Chevy Chase vehicles bearing little resemblence to either the literary story or character.
Ditto squared and cubed again. In fact, I think Wodehouse is the archtype for this. And I second the Hitchhiker books (not conversation-heavy? seriously?) as well as the unfortunately brief Dirk Gently series. You might check out Martin Amis, as well; he’s not for everyone, but he definitely has a way of turning dialogue.
Stranger
This is possibly the only subject you and I disagree on, but I tried to reread Wodehouse recently and found him cringingly twee, cutesy and repetitive.
Humour varies a lot.
I laughed out loud at Wodehouse (which caused some embarrassment as I was on a train at the time!)
And thank goodness for that, or only one weiter would be making any money!
At least tell me you like Mark Twain. 
Did you try one of the Jeeves books? De gustibus non est disputandum and all that I periodically devour the Jeeves stories like popcorn. I think Bertie Wooster is one of the greatest characters in English literature.
I would also like to recommend the short stories of Saki (which are available online).
Here is a previous thread (in which I link to an even previouser thread) in praise of Saki.
The Thin Man by Dashall Hammet is almost all dialogue.
and it’s good too
Ooooh, yes, Saki. Saki is good. Very very good.
Wait…Evelyn Waugh was a guy?
Evelyn Waugh. I’ll refrain from making the associated Lost In Translation quote. 
Stranger
Yes, and I think it’s pronounce Evil-in, not ev-elen.
“Charlotte snorts to learn that a friend of John’s, a vacuous American movie starlet played to grating perfection by Anna Faris, is staying in the same hotel under the name Evelyn Waugh; John, clueless, seems personally hurt by her snide revelation that Evelyn Waugh was a guy.”
Kelly: I’m under Evelyn Waugh.
Charlotte: Evelyn Waugh was a man.