I find prank calls uncomfortable sometimes. Involving real life people in little bits where they embarrass themselves-- ick. I can't even watch Ali G interviews without hiding my head under a pillow.
On JFAL the caller generally plays a bemused (sometimes amused) straight man to Andy and Jeff's shenanigans. I can't remember any calls where they did anything that was uncomfortable for the receiver.
The woman who listened to the Party Doctor seemed to be having the time of her life, and the Army people didn't know quite what to make of Bleachy, but were otherwise unharmed.