The Holy Bible.
Another vote for P. G. Wodehouse.
I’ll third Patrick McManus.
And the Fletch novels are all very funny.
Here are two books that made me laugh out so loud in the subway that people started asking me about them:
Round Ireland with a Fridge by Tony Hawks
Out in the Woods by Bill Bryson.
There’s a trilogy (actually more but the first 3 are the only good ones) of books by an author named Donald Jack
Three Cheers For Me
That’s Me In The Middle
It’s Me Again
Winners of the Stephen Leacock Award For Humour
(Canada’s Literary Humour Award)
Also… anything by Stephen Leacock is pretty good too… they named a humour award after him.
A lot of my favorites have already been mentioned, including Terry Pratchett, who I’m happily discovering, and old favorites, Douglas Adams, P.G. Wodehouse, and Donald E. Westlake.
I’ll also recommend Robert Lynn Asprin’s Phule’s Company, and Harry Harrison’s Stainless Steel Rat books. Finally, I’ve got to put in a plug for a good book by a better friend, William H. Keith, Jr.'s Diplomatic Act. He wrote it before the movie Galaxy Quest was written, although it’s got a similar plot. His aliens are better, and there’s a hilarious scene in which an alien is reading the thoughts of a human being and a golden retriever and trying to figure out which one’s the sentient one. No, I’m not just throwing in this plug because he lets me hang out in his hot tub.
Enjoy!
CJ
No one’s mentioned my all-time favorite, Straight Man by Richard Russo.
I’ll second Bill Bryson’s Walk in the Woods and umpteenth David Sedaris.
Tobacco road, Erskine Caldwell, Very funny and very sad.
The Milagro Beanfield War by John Nichols.
His books aren’t fiction, but I always get a good laugh out of Bill Bryson. I’d recommend starting with “In a Sunburned Country”.
A Confederacy of Dunces by Ignacious Reilly. Will make you laugh your ass off, in a psuedo-affluent kind of way.
For a truly funny romance novel, pick up Barbara Metzger. Unfortunately, I doubt you’ll be able to find her tour de force, A Loyal Companion
Jude Devereaux can also be quite funny, although she’s rather lightweight. Of hers, The Raider is my favorite book for general hilarity, and Mountain Laurel has one of the funniest sex scenes that I’ve ever read.
I can’t believe this thread has made it to the second page without anyone mentioning Lewis Carroll’s Alice books. Funniest work of fiction ever written.
I’m currently reading Good Omens, by Neil Gaiman and Terry Pratchett, and it’s pretty good. It’s compared to Douglas Adams by a lot of the critics featured on the cover and flyleaf.
I’ll third Catch 22, and whatever High Fidelity.
I remember Christopher Moore’s The Lust Lizard of Meloncholy Grove being pretty good when I read it last year.
Me Talk Pretty One Day had me laughing out loud, but most of David Sedaris’ other stuff just leaves me feeling vaguely depressed, for some reason. His descriptions of his sister Amy is the funniest stuff in his books. And I think “You Can’t Kill the Rooster” is one of the best, and funniest, pieces of writing I’ve ever seen.
My favorite writer is Roy Blount, Jr.; I’ve been in tears after reading some of his stuff, either laughing or crying or both. To me, he’s the quintessential southern writer, a guy who gets off on whiskey, women, etymologies, scansion, gravy, fishing, and the bizarre. My favorite book of his is Now, Where Were We? but it’s hard to find. His one novel, First Hubby, I didn’t like so much, but it’s not bad. He definitely works best in essay/short story format.
Is Lust Lizard the only thing of Moore’s you read? Because it’s easily the least of his books. It’s also a sort-of sequel to his first book Practical Demonkeeping.
Well, I’ll 38th Hitchhiker’s guide and Discworld books, but I will also nominate kendermore, an absolutely hilarious dragonlancce book, due to the zaniness of kender society.
I will second, third, thrity-ninth may of what has been posted.
I am going to add and suggest if you want to laugh out loud, that you try The Geographer By Jim Riva.
Note, don’t bother to look for this book at your local book store, Jim self published it. The link above is to Amazon.
Great book! Ignatius J. Reilly is the main character. The author is John Kennedy Toole. 
I’ll third Catch 22.
Specifically recommend Long Dark Tea Time of the Soul.
Reading those books involved the frustrating procedure of reading a passage, laughing so hard that I lost my place, reading down to find my place only to start laughing again without being able to read anything new.