I love Will Ferrell too!
Anchorman definitely makes my list along with Zoolander and Spy! Also I have another Melissa McCarthy movie: Identity Thief! OMG so funny and I can't believe you've seen What About Bob I seriously feel like the only one who has seen that one besides my family! I love almost everything Bill Murray has done.
My official list also includes
Forgetting Sarah Marshall (also fits with your spoof theme if you haven't seen it you should!)
and The Naked Gun...or maybe Young Frankenstein...guess I have to