I love Roman comedy. Plautus and Terence with their misers, swaggering soldiers, clever slaves, twins, mistaken identity, and cross dressing. Petronius' Satyricon is hilarious too with it's mock Odyssey and protagonist who's name translates as The Crotch. You have the last words of Vespasian, joking about the Roman public's tendency to deify dead emperors Væ, puto deus fio, "Oh dear! I think I'm becoming a god!" I've also enjoyed the Pumpkinification of Claudius by Seneca the Younger, where instead of becoming a God like other Roman emperors the pantheon decides that Claudius would make a better pumpkin.
Apocolocyntosis by Seneca
The last words he was heard to speak in this world were these. When he had made a great noise with that end of him which talked easiest, he cried out, "Oh dear, oh dear! I think I have made a mess of myself." Whether he did or no, I cannot say, but certain it is he always did make a mess of everything. - (I think it's E.F. Watling's translation but I can't be sure.)
Then there's that victory chant by Caesar's soldiers during his Gallic triumph in Suetonius.
Home we bring our bald whoremonger; Romans, lock your wives away! All the bags of gold you lent him Went his Gallic tarts to pay. -Suetonius, The Twelve Caesars, Robert Graves translation, p. 36.
And Catullus' line Pedicabo ego vos et irrumabo always makes me chuckle. I didn't find Apuleius' The Golden Ass as funny as some, but the ribald parts tickled my fancy. Also, Ovid has his moments of cleverness, like when he wrote:
We which were Ovids five books, now are three, For these before the rest preferreth he: If reading five thou plainst of tediousnesse, Two tane away, thy labor will be lesse:
-Marlowe's translation
I'm not really a fan of Juvenal or Martial though. I haven't read Horace's satires, so I can't comment on them but the Greek satyrist Lucian was active during the imperial period and his True Story is great. It's just a concotion of fabulous lies, full of fantastic imagery.