Wrath of the Racket for August 2003 has several backstage skits with Cabana and Ace Steel that are very funny.
If you want newer stuff, DBD2 Night two has Joe vs. Cabana for the world title, though there's not much comedy, just a good title match. If you want skits and comedy, I know there's a little skit on the World Title Classic show, and it's pretty damn funny when Cabana comes out to "Superfreak" right after Rick James' death at Testing the Limits. Oh, and there's a funny live "Great Times, Good Memories" on The Last Stand, from January 2004. Posting on the ROH board would probably get you some great responses from people who know more than me.