I can't think of any character that made me "lol"... Usually if I laughed it's more of a "Oh god that's so freaking awesome" kind of laugh, like with Ichirin/Unzan and the catfish.
The only character that even really got close to that kind of reaction from me was, um, Yuyuko. The first time I saw her, I found myself questioning whether she actually was the final boss or not. I mean, her artwork hardly makes her look threatening. Like, at all. Seriously, look at it:
Does this look like a final boss? All poofy blue nightdress and pink hair and Dreamcast logo hat?
Of course, then you actually see what she can do and you get more of a "HOLY CRAP!" reaction from her. The butterflies... DEAR GOD THE BUTTERFLIES!
* Theorist breaks down and curls into a foetal ball.