I'm not a big fan of Will Ferrel by any stretch...but I really enjoyed him in Stranger Than Fiction. And I have to give him props for Anchorman, though I tend to think that film's laugh-factor stems mostly from the supporting cast.
Overall, though, I'd have to say I enjoyed Ferrel a lot more back when he went by the name Steve Martin.
I'm sorry, what's that? Oh, they're two different people? Huh. Then Martin could probably sue him for stealing his act.