One of the few instances where Dunham doesn't use his puppets - relating the story of the small dog his wife and daughter recently adopted. The dog was quite dumb, with the particular incident cited being carrying a stick longer than its body in its mouth length-wise. While running and carrying the stick like this, the dog angled its face toward the ground and wound up pole-vaulting. While his wife and daughter rushed to help, Dunham was laughing his ass off.
"Then I thought, 'Damn, if it had been going a just little bit faster, I'd have a new puppet: a chihuahua on a stick!'"
During one skit with Walter, a random guy from the crowd gets up to take a bathroom break. Walter decides that he's not getting away with that and shuts the show down to wait for him.
Walter on arguing with his wife:
I take a look at my "What would Jesus do?" bracelet. So I tried turning her into a fish. Begone, Satan! Hello, Shamu.
There's also the burning followup to that: "At least Shamu only has one blow hole."
For the Halloween Special, the puppets all dressed up as the thing they fear the most (save Peanut & Jose, who were parodies of Batman and Robin). Achmed was an American woman. That is all.
Bubba J taking a gun safety course: "Got it. Don't aim it at anyone that you like."