I'll never forget him on Letterman describing what happened on the very first Fernwood Tonight episode. The audience wasn't told the premise, and he said it was a good five minutes or so into the show with absolutely nothing coming from the audience. Suddenly, he heard some guy say out loud, "Oh, it's supposed to be bad! They're making fun of talk shows!" At that point, everyone got it and within a minute were laughing out loud at their antics.
One of his early "hits". Pretty sure this pre-dates Fernwood Tonight.