My recommendation is that you need to get a sense of humor. Listening to Weird Al for the musical talent is sort of like listening to Bill Hicks for his unique insight. It's definitely there, but if that's why you're listening, then you're fucked up.
Weird Al IS all about the humor. That's the whole reason he exists, and if that's not cool with you, then skip him. Beside the fact: his band is, in fact, highly talented, and able to play just about every style of music well. And, he's "progressive", in a sense... he's always incorporating new things, and his more recent albums are starting to feature longer and more complex songs (such as "Albequerque", from Running With Scissors).