A lot of people seem to think the movie is just making fun of stereotypes. Borat is a sterotypical foreigner, his "victims" are stereotypical Americans, and the humor comes from laughing at them. There are perhaps a couple short scenes where this might be true, but it's a pretty small part of the film.
In reality, _Borat_ is about the existence and enforcement of cultural norms. In place after place, Borat goes somewhere and does exactly what you're not supposed to do. By doing so, he demonstrates exactly what are cultural assumptions are, makes us laugh uncomfortably at their violation while we start to question their legitimacy, and then documents the punishment inflicted for violating them.
There are scenes where he questions feminist dogma, provides a brilliant critique of nationalist rhetoric, violates norms about racial integration, takes superstar-worship culture to its logical conclusion, and, in my favorite scene, deconstructs the fake niceties of the television interview (something I've always dreamed of doing).
This is an incredibly tough kind of humor to do, because watching people violate cultural norms is so challenging. We're ingrained from birth with an injunction to follow the rules of behavior in such situations and violating them does not come naturally. (A Japanese friend said that watching the film was actually painful in parts.)
Even though, as I said, I personally didn't enjoy the film as much as I hoped, I still think that it's an important project. Challenging cultural assumptions is incredibly tough. If you just criticize them outright, people think you're weird and dismiss you. And if you violate them yourselves, you suffer the social punishments. But it's a very worthwhile cause; I'm glad to see someone receive so much success for trying.