Actually, strictly speaking, "fun" is not an adjective, but a noun, as in this definition from the American Heritage Dictionary:
1. A source of enjoyment, amusement, or pleasure.
2. Enjoyment; amusement: have fun at the beach.
3. Playful, often noisy, activity.
As a noun, its quantity or amount would be compared with "more" and "the most." The sentence would be:
"¢ It's more fun to play tennis than to go shopping at the mall.
A sentence with a superlative might be:
"¢ We had the most fun all summer playing tennis last weekend.
So, yes, your sentence would be perfect with "more fun" or "the most fun."
Many nouns cross the line to become adjectives themselves. "Fun" is one of those nouns, although its use as an adjective may still be considered borderline. The American Heritage Dictionary* has this definition at "fun":
Enjoyable; amusing: "You're a real fun guy" (Margaret Truman).
The Cambridge Encyclopedia** also notes the use of "fun" as an adjective:
"Many speakers, especially younger ones, accept expressions like a very fun person, indicating that fun has been assimilated into the adjective category."
While "funner" does not seem to exist as a bona fide comparative of "fun" used as an adjective, it does appear in 43,400 examples on Google. Take a look! This form, however, would draw red correction marks from teachers and editors everywhere.
*The American Heritage Dictionary of the English Language, Fourth Edition Houghton Mifflin Company. 2003
**The Cambridge Encyclopedia of the English Language, by Huddleston and Pullum. Cambridge University Press. 2002