An anecdote is basically a story. Jeff Dunham is a great example of someone who uses an anecdote. He is a stand up comic and in his intro he tells a story of a humorous experience in his life.
http://www.youtube.com/watch?v=l-k3i71WI6UA farce is a light dramatic piece where improvable situations happen.The movie Blades of Glory is an example of a farce. Many of the scenes are improved while the movie has somewhat of a dramatic story line involving romance,betrayal,and friendship. The scenes with ice skating are where most of the improv comes into play.

A parody is an imitation of an original piece of work. There are many parodies out in the entertainment business. Saturday Night Live is a show that has perfected parodies. My favorite parody is Tina Fey imitating Sarah Palin.
