Murray still has delusions of grandeur from his time in LeChuck's army. He realizes he's not really all that fearsome, being just a skull, but he pretends he still is a scary demonic pirate. It's a bit like those dictators who must know deep down that what they're doing is really stupid, but they can't go back without losing face and continue down a path of madness.
I don't think he necessarily likes Guybrush, he just needs a human being to help him out. Of course, he'd never admit that, so he covers up his shame with a lot of evil rhetoric. As for Guybrush, I think he does indeed find Murray amusing, like Monkey Mania says. In short, I'm not sure if they could really be considered friends, but they sure make an interesting duo.