In every movie I've ever seen him in, you keep expecting him to take the joke too far to where it becomes stupid, like Adam Sandler or worse, Pauly Shore. But he never does. He always knows when to stop, when to pass off to the straight man.
And he consistently does this, movie after movie. Anchorman was better than expected. Bewitched was better than expected. Talladega Nights was better than expected (far better, in fact). After noting the string of movies that "looks like it'll be so dumb" when we saw the trailers and then subsequently enjoyed upon viewing, my wife and I concluded that Will Farrell himself sucks less than expected.
I greatly look forward to Stranger Than Fiction, which I believe shall be the crowning achievement of his career.