I've seen 1) and 3).
"I served the King of England" is not exactly a comedy. Yes, there's no lack of humour, but I'd call it tragicomic. Visually, is a very interesting and powerful movie, extremely imaginative. That and the historical reconstitution of the Central Europe during the 1st half of the 20th century are the best things the movie has to offer - the collective psyche of those times was very well captured, there's a very "musilian" tone. However, something is missing. It leaves this "it could have been much better" taste in your mouth.
I was very disappointed with "Burn after reading", mostly because I had high expectations. Still a decent movie, I guess; but surely one of their worsts. Lots of good comedy moments, but from the Cohen brothers one shall expect more than that.
I prefer "I served the King of England", but it's so close that I won't advise you one over the other.