I have to admit it, I avoid watching most Portuguese shows (radio or TV), only because, in Canada, they're not that many and the quality is, well, not that great.
There is one show, that is created by mandala, that is part of rtp's lineup, that is hilarious. Sometimes, you have to know what's going on in Portugal to get it, but it's still hilarious, and award-winning as well.
The show is Contra Informação.
The good thing is, that you can watch it on the net. Click here to watch some new stuff. Older, classic stuff here.
The best part is that Wikipedia, my favorite site of the moment, has a list of memorable quotes - in Portuguese. Click here to view.