There is no thread about these characters yet, so I decided to start one. I'm not a fan, but I really liked the Borat movie and also enjoyed The Dictator. Brüno was almost bad. There were funny parts, but it overused gay stereotypes to the point where it doesn't make you laugh anymore. I heard the opinions on this movie differ widely, though.
Ali G - ESTP
I have to say I only watched a few episodes, so I may be wrong on it, but he comes across that way.
Borat - ESFP
He doesn't care to conform to western social norms and he's also sensitive. In the movie he can't kill a chicken, although he is hungry and penniless.
Brüno - ESFJ
Could also be ESFP, but he has that "Fe girlie attitude" which is often used as a stereotype for gay people.
Aladeen - ENTP
He could be an ESTP as well, but I guess being an absolute ruler in a bureaucratic state, who doesn't have to deal with politics would make everyone a little more Se. His speech at the end convinced me of ENTP.
I think Sasha Baron Cohen himself is an ENTP. His movies are provocative and make fun of stereotypes and I couldn't think of another type for him.