These are my ten favorite comedy shows, ever. Selected by favoriteness (not greatness, not influence, just favoriteness). No particular order. Cheated a little by counting Brass Eye and The Day Today as one show, and Letterman as one show.
My favorite right now is 30 Rock, my favorite ever is Larry Sanders.
30 Rock
The Simpsons
Newsradio
Mr. Show
Brass Eye / The Day Today
Curb Your Enthusiasm
The Larry Sanders Show
Seinfeld
Late Night / Late Show with David Letterman
King of the Hill