I have a soft spot for movies with segments, be they anthology horror, sketch comedy, or vaudeville musicals in the vein of Ziegfeld Follies. The best sketch comedies to me, though, are from the 70s TV parody boom. For those who don't know what I'm talking about, there were a bunch of (generally low budget) movies spoofing TV programming, commercials, news, PSAs, and occasionally a movie. Some were really spot-on and looked just like a commercial from the era (until a bawdy twist), and they can be fun to watch because of how prophetic some of the outrageous parody programming was. Here's a partial list organized by year.
Brand X (1970) MIGHT be one, but I've found absolutely no information on it.
The Groove Tube (1974)
The Boob Tube/Soap (1975) is a soap opera parody with a main story interspersed with commercials.
Tunnel Vision (1976)
The Boob Tube Strikes Again! (1977) counts if it’s like it’s successor, but I haven’t seen it yet.
The Kentucky Fried Movie (1977)
American Raspberry/Prime Time (1977)
American Tickler (1977)
Disco Beaver from Outer Space (1978)
Loose Shoes (1980) is a set of movie trailers.
Amazon Women on the Moon (1987)
Does anyone know any more?