The entirety of his appearances with Noel Fielding on Big Fat Quiz of the Year 2006 & 2007. Really, all of it.
Russell's stand-up from The Secret Policeman's Ball is very memorable.
"I kind of think of it as like a friend, but do any of you have a friend that you just like, fucking HATE?"
"...an ex con has revealed...Oh, lets not query that source!"
"If you're going to have a father figure...IN PRISON...it's probably best to have one who ain't also a pedophile. He may abuse that position."
"Dave? Dave. You're not a bright man, are you mate? Never speak again. You are essentially, an oxygen thief."
A lot of funny ones.
Letter: WHO THE FUCK DO YOU THINK YOU ARE?!
Russell:(Grins and holds up paper) I'm Russell!
All of his Ponderland episodes qualify as this; They're just as smart as his live shows and the like, but he benefits from riffing on utterly ridiculous trinkets from the annals of British TV history. A particular favourite is his response to footage of a man using a computer to investigate the similarities of accents in regions of England and Australia;
Computer: 'Ow are ya mate?
Adjusted Computer: (lower) 'Ow are ya mate?
*cut to Russell*
Russell: S'like a rubbish version of Knight Rider. Ow are ya mate? Ow are ya mate? Why go to all that trouble to make a machine that asks you how you are — In a slovenly way? Ow are ya mate? Ow are ya mate? I think that man is just desperately lonely and needs a machine to have a casual conversation with. Ow are ya mate?Where are ya mates? Why are we mates?