Above, we have Super Dave Osborne's appearance this week on The Tonight Show. Funny stuff, as usual.
Comic Bob Einstein (aka Albert Brooks' older brother) has gotten a lot of mileage out of this character - which he has been performing since 1972. Take a look at this clip from a 1990 appearance on David Letterman's Late Night. It's essentially the same act he did on Conan - in each case, the host is "in" on the pre-scripted comedy.
You may also recognize Einstein as "Marty Funkhouser" on Curb Your Enthusiasm.
