I, too, am a big fan of man also known as Choo-Choo the Hurkey Jerky Dancer.
In "Mr. Show - What Happened"? I still remember laughing really, really hard when I first read the story about Jay's tipsy uncle coming to visit his family after a Cubs game, which ended up being the inspiration of the Everest sketch.
Jay has also had some really great scenes in some of the more recent episodes of the Sarah Silverman Program.