I stumbled on Ali G via an NPR interview. During the clip they aired, Ali openly questioned the existence of bones to a prominent British doctor ("Yo, have you heard about dis conspiracy of bones, mahn?"). Brilliant stuff.
Borat was never my favorite character from his television show as it seemed to mostly hinge on Cohen getting people to repeat themselves a few times and then shock them with some cultural absurdity. Still funny, just not quite as funny as mixing up "veteran" with "veterinarian" in an interview.
In movie form, however, Borat works wonderfully. This is mostly because the movies is structured to be more than just a series of pranks pulled on unsuspecting people who really buy into Cohen's over the top representation of a "Khazak". His trip across America intersects many walks of life and leaves only a scant few unscathed. While Cohen drums up plenty of laughs by acting like a well intended idiot, it's often the subjects of the mockumentary that end up looking truly stupid.
One interesting outcome is that often the people on the lowest runs of the American social ladder - namely street kids and whores - often come out looking the best. Whether ... and this is a solid question for much of Borat - this is the outcome of how people truly act or simply clever production and editing is extremely hard to tell.
In the end, Borat is brilliantly funny in much the same way The Office works. You know something horrible is about to happen someone very soon - and its worth the tension to find out who and what.
Follow up: For those who have seen the film, Wikipedia does a great job of illustrating the fallout and includes how some of the participants were (or weren't) duped. Don't go near this page if you haven't seen it - it will definately ruin the film for you.