Ghostbusters is one of his greatest, although it's a very funny film as well as just Murray. Egon Spengler is hilarious, as is ackroyd.
I love the scene in the mayor's office, the 'yes, it's true, this man has no dick' is impeccable, and then there's the line from Murray: "If I'm wrong, nothing happens. We go to jail. Peacefully. Quietly. Nicely. If I'm right.. If I'm right, then you will have saved the lives of millions of registered voters."