Bill Murray is feeling a bit smug this evening in his Los Angeles hotel suite. He leans back on a couch, takes a long drag from a cigarette and shows off one of those patented sly, get-out-of-here-you-knucklehead smiles.

It is the sweet memory of how much he annoyed Richard Dreyfuss that has brought about such contentment.Of course, some of his annoying behavior on the set of "What About Bob?" - the new comedy that opened May 21 - actually was called for in the script, but Murray boasts that he went way beyond the call of duty.

"The script wasn't nearly as annoying as I could be, so I had to improvise a lot in the movie," Murray deadpanned. "And even what you eventually see in the movie isn't close to how really annoying I can be when I put my mind to it.

"There's always more annoying behavior right below the surface."

In one scene in the movie, Murray, who plays a multiphobic neurotic who follows his psychiatrist to his summer home, is supposed to annoy Dreyfuss, who plays the doctor, a little. Just a little.

"While he was talking, I got in real close to crowd him, I put my head on his shoulder, screamed into his ear and did all sorts of annoying things," Murray said. "Some of that was even in the script . . . no wait, none of that was in script. I made it all up.

"It was quite liberating to play someone like that," he added. "When you've got as many problems as Bob has, anything goes. Anything that I could think of to annoy someone in a scene, particularly if it was Dreyfuss, I went with it."

Murray's character, the exasperating Bob Wiley - the guest who wouldn't leave - is afraid of everything, from touching doorknobs to using public facilities to riding in elevators. You name it, Bob's afraid of it.

"We decided right from the start not to limit him in his problems," Murray said. "Rather than have to deal with him getting over a specific problem, we decided to make anything and everything a problem so that anytime we felt like bringing up something new, the audience would know that Bob would have a problem with it.

"But it's strictly played for laughs; this is what you might call the upbeat side of mental illness.

"And with this kind of approach, I didn't have to do much research. Between all the goofy people I've met in my life as well as whatever's going on in my own head, I had all the background material I'd ever need to play the role."

"What About Bob?" is Murray's first movie since last summer's disastrous "Quick Change," which he not only starred in but co-directed and co-produced. The movie opened on the same weekend as the phenomenon "Ghost" and disappeared from view, despite generally favorable reviews.

The experience was a bitter pill to swallow for Murray, not only because it was his first directorial effort but because he is not accustomed to such failure. His career has been marked by so many successes that when "Ghostbusters II" made just over $100 million in 1989, it was considered a disappointment.

Murray blames Warner Bros., the studio that distributed "Quick Change," for the failure and said he has refused to speak to studio executives ever since.

"I sound pretty cool now when I talk about it, but I could have killed someone back then," the actor said. "It was like they killed my baby. It was a terrible time for me; I was completely baffled by what happened.

"The really tough part was that I knew we had done our job. It was a really good movie, maybe one of the best movies of last year. I think it was even better than `Dances With Wolves.'

"But the Warners marketing department didn't do its job. They knew weeks in advance that the public wasn't aware of the movie. They track these kinds of things, and they knew that more people were aware of the capital of Burma than were aware of our movie.

"Instead of doing something about it, or pulling it from the schedule and releasing it a few months later when it could have had a chance, they just opened it and let it disappear.

"But I'm a lot more relaxed about this movie because of Disney (Touchstone Pictures, a division of the Walt Disney Co., is distributing `What About Bob?'). These Disney guys were put on Earth to sell movies. They're great at it; they've sold movies that didn't even deserve to be sold. They've sold movies better than they've made movies."

Because of experiences such as "Quick Change," Murray, the former "Saturday Night Live" star (he replaced Chevy Chase after the first season), who segued successfully into movies with "Meatballs" in 1979, said he has become philosophical about the film industry.

"It was just another daffy thing about the business, I guess," he said. "A lot of people have to wait a lifetime to get a hit movie, if they get one at all, and I had hit movies right from the start.

"I never really had a failure; nobody's ever lost money on one of my movies.

"So I guess that had something to do with my reaction to what happened to `Quick Change.' I had never experienced anything like that before."

Even with the bad experiences, Murray remains a major player in the Hollywood game. He continues to wield the kind of star-power that can get a movie made just by saying he'll be in it.

What has changed is his attitude about that power and his position in the Hollywood community. Perhaps because of his recent failures, he now seems comfortable with his fame.

In a 1988 interview, Murray said he was uncomfortable with it.