Its very far from pure entertainment. About the only 'pure' entertainment I have ever been a part of is the most basic circus stuff. And, even then, when you raise all that to the level of either Ringling Brothers or Cirque du Soleil, you are going to get a some sort of message as a part of the overall script.
Its comedy, and since the Greeks (which is as far back as we can trace any of this) comedy was always a way to get that things that might otherwise be hard to approach. It's the jester who can make fun of the king, and in so doing, all are able to join in. In 411 BCE Greece, Aristophanes could not have attacked the institution of the army directly, so he did it in in a roundabout way in Lysistrata.
Matt and Trey, following in the footsteps of Matt Groening, Jay Ward (who's Rocky and Bullwinkle is still a good sent up on the cold war) and the big man himself, William M. Gaines, who's Mad taught a few generations how to do it, are using satire and irony as a way of examining Society writ large. They have got much better at it over time. The Simpsons started out good, faded for a while, and then came back strong again, but Matt&Trey have come to it far more gradually, but in some ways, much better. Because the kids can't really understand the adults try - and fail, to explain in every episode. And, like The Emporor's New Clothes, its the kids who get to say the one thing everyone it thinking. So, for the Tourette's one can be summed up with the kid who watches Cartman swear at the teacher who then praises him and says "He said XXXX, that's cool" and the other overriding though is found in in Kyle's comment that "isn't anyone responsible for anything anymore besides me?"
Though the message of "if you can say anything you want, you will sooner or later say something you regret" is pretty funny too.
the ones where they make fun of or mock christianity They do, but they have gone after the Mormon's too, and no religion seems to take it as much as Scientology does.
