For example the famous sketch where he got into a 'fight' on stage, the audience was really into the sketch and he interrupted it right in the middle to get in a cheesy fake fight. That sort of anti-humor was what he was trying to achieve (or so I think). I agree a man wrestling a woman isn't funny, but in the context of what he was doing I find it hilarious.
I really appreciate the way he keeps his audience in such suspense, as they don't know what is planned and what is not, and they have no clue what will come next. It really shows his success at it when people think he faked his own death.
Belushi, Pyror and Murray are some of my favorite comedians, but they clearly have different styles of their own too. Belushi was great at physical humor, but someone might say they don't find someone acting obnoxious like that to be funny.
That is a great part of comedy, not everyone enjoys the same things.