I think people go into these movies looking for a completely different kind of comedy than they really are. There are no punch lines, no slapstick humor, cheesy gags, and the whatnot. It's not a piss in your pants comedy, and I don't think that I ever actually lol'ed while watching Bottle Rocket, Rushmore, or the Tenenbaums. That's not the point of them. Hell, I'm not sure what the point of them really is supposed to be to be honest. There is just something about them that really does put them miles above everything else out there. Maybe it's the characters, Digmund in Bottle Rocket, Max in Rushmore, I mean these are some great characters. You don't see that in most movies. With the Tenenbaums, there is just that strange magic that makes the movie enjoyable and rewarding. Something I just can't really put into words, and yeah I'm sorry but it really is one of those either you get it or you don't kind of things.
Like someone said above, If you are looking for a go out have a good time haha comedy, go watch Meet the Fockers or something. For a much more memorable movie experience try a Wes Anderson movie or the like.