As good as Holy Grail is, my estimation is that you're not a "true" fan of Monty Python until you have more than a passing familiarity with the Flying Circus television programme. Not only does it contain their best material, but much of it is also far less played out. I have to go quite a while in between Holy Grail viewings because of the endless quoting, which puts it in deeply unfortunate danger of becoming unfunny through sheer repetition. (The same could also be said for that infernal Dead Parrot sketch, however.)
I was lucky enough to see a theatrical screening of Holy Grail a few years ago. Thankfully the crowd didn't shout out the lines during the film or anything like that, which would have been difficult since the theatre had their sound system cranked up to nearly oppressively high volume.