I agree with a lot of what's been mentioned so far, especially Mystery Men and Galaxy Quest.
A few more:
Cannibal! The Musical - hysterically funny stuff from the South Park gods Trey Parker and Matt Stone. If you watch the DVD, you must also watch it with the drunken commentary track
.
Psycho Beach Party - great spoof of fifties teen slasher-surf movies.
61* - I don't really like baseball movies, but this one was interesting and well done, v. v. good. I didn't think Billy Crystal had it in him.
Heathers - One of the best movies to come out of the late eighties.
Strictly Ballroom - Baz Luhrmann's (of aforementioned Moulin Rouge! fame) first movie--kooky and crazy, lots of fun, but virtually no one has seen it here in the U.S. of A. If you didn't like Moulin Rouge!, you might like this one.
Waiting for Guffman - Aside from Spinal Tap, the best mockumentary ever made, and one of my ten favorites of all time. Honorable mention goes to Drop Dead Gorgeous and (not quite mockumentary, but really great) American Movie.
What are you waiting for? Go rent these gems! Go!
I Know I'm Gonna Go,
Mary Lo