Really reminds me of the "Rodney on the ROQ" insofar as you can't really separate the show from the rest of the compilation - in the case of the Dr. Demento, it could have been a single CD if it weren't for that.
However, whenever I hear "Lydia, The Tattoo'd Lady," I still think of Robin Williams in 'The Fisher King." Marx Brothers, second - and, the new Dead Milkmen re-do, a very distant third.