I enjoyed Chase' earlier works: Caddyshack, Vacation (the Christmas one is okay too), the Fletch movies, Foul Play.  I also liked The Three Amigos :)  A lof of utterly ridiculous roles but it was funny without being toilet humor, which we seem to get a lot of today.

It's really kind of sad though.  A lot of the SNL crew that were fun to watch back in the day are just awful in later movies.  Chase, Steve Martin, Dan Akroyd and Eddie Murphy just don't seem to get ahold of good scripts or have the comedic timing that they used to.

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