Monty Python by a long shot! As @Rarebear wrote, they’re different styles and make fun of different things in different ways, and Python matches me the best. There are some bits I find tedious or not very amusing, but I like most of what they did, and the stuff I like the best, I really love. I think a large part of that is that Python doesn’t just satirize and make funny pieces, but it sometimes stabs through people’s taboos and senses of normalcy and out of their comfort zones and therefore makes them look at stuff that might need exposure, which I think ought to be done a lot more than it generally is. I like savagely ridiculing expectations and conventions.
Of Mel Brooks, I am a complete fan of Young Frankenstein, and Blazing Saddles is also incredible. Other works are also quite good: The Producers (1967), Spaceballs, and some other moments, though there are also many parts (or entire works) of the others where I don’t really share his sense of humor. He tends to stay closer to convention and work within it rather than blowing it apart or doing largely original things.
I didn’t even know the name Christopher Guest before your question. I did enjoy Best of Show, some parts of which very much, but not so much as the stuff I really like from Python or Brooks. Checking Guest’s filmography, let’s see… yeah, no, he’s funny, and I’ve not watched a lot of his stuff, but he just doesn’t resonate with me much.