I thought Anchorman was going to be a pretty awful movie, untli I saw it.
It was, easily, one of the best movies I've seen, certainly the best Will Ferrel one (I've only seen Elf, though :p )
There was a certain randomness to key areas of the film, like the [spoiler] fight scene between the rival anchors, for one, turning into the all-out brawl as it were. Made for great comedy, and a great "wtf? moment" at that.[/spoiler]
I'm all for the character immersion too, it helps the characters become more beliveable, And I thought, as The movie started, that it was going to be a real true story, lol.