Woody Allen, even the comedies, have somber and philosophical undertones.
Chris Lilly (it's a bloke) is one of my favorites he plays almost all the characters in "We Can Be Heroes" and "Summer Heights High"
This is him playing Ja'mie King, one of his many characters:
[youtube]http://www.youtube.com/watch?v=tr-Usynqkec[/youtube]
I also like Rebel Wilson, Dave Hughes, Peter Helliar, Gina Riley, Chopper, and a few others i can't think of right now
Frankie Boyle:
[yt]http://www.youtube.com/watch?v=H2G_01T-CHI[/yt]