Just thought of one that I loved and watched a few times: John Dies at the End
Seriously underrated and my guess is it'll be more appreciated in the future (I hope). It should have spawned a sequel or two. Watch it on Netflix or Hulu or rent it at your local Blockbuster, it's worth it. I promise this.
edit: It's free on Vudu
True dat. It's really strange, very unique, and very entertaining.
Return of the Living Dead, as mentioned, is one of the first really good examples of the genre. Linnea Quigley spends a whole lot of it naked, too.
I'd add
Sleepaway Camp and
Sleepaway Camp 2. The original takes itself sort of seriously (but not at the ending), whereas the sequel clearly doesn't.
edit:
You Might Be the Killer stars Fran Kranz and Alyson Hannigan and starts mostly as comedy and then leans into proper horror tropes more toward the end, it's not amazing but it's worth a look.