My favorite is Young Frankenstein.
The real genius of Brooks' movies is the layered humor in them. On the surface, they are politically incorrect screwball comedies with a Borscht Belt humor flair, but they are also filled with parody references to classic movies in their particular genre, as well as parodies of various movie and entertainment tropes.
One that is part of why I like Young Frankenstein so much is how you can hear horses whinnying and reacting in fear whenever Frau Blücher's name is spoken. There's an urban legend that "Blücher" sounds like the German or Yiddish word for "glue", but it actually doesn't. The horses react that way as a parody of the trope of having scary music play whenever the villain enters the scene in a melodrama, and part of the humor is that you can hear the horses' terrified reaction to hearing Frau Blücher's name even when there are no horses anywhere in the vicinity, like in the interior of the castle.
Oh, and the "Puttin' on the Ritz" scene is hilarious!