Hard to choose, as much as I like his SNL stint I enjoy his interviews and podcast more. My two favorites are-
His intervention during Conan's interview with Courtney Thorne-Smith (actually his entire appearance there is great)-
His recent book is great too.

Cringe humour, but pretty funny at times.

that's good.
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my favorite dumb joke that is only funny because of the way norm McDonald said it was this one joke he did back on weekend update many years ago.
paraphrasing:
topping the college hits billboard chart this year, coming in at #1, with the smash hit "good" was the band better than ezra
in second place ezra
so stupid but the way he delivered it made me laugh so much.
Where did you get those clothes, the toilet store?

Colonel Sanders?
Pretenders - Never Be Together

Loved his stand-up. Loved his Weekend Update on SNL. Loved his intentionally bad jokes on Bob Saget's comedy roast.
But look for his SNL skit where he plays David Letterman talking to guest William Hurt (played by an equally brilliant Kevin Spacey). Macdonald's imitation of Letterman is spot-on and so funny.

Sports fans, if you like statistics check out this awesome website: thefixisin.net

I can't think of a single performance of his I ever liked.
To each their own, but that guy always annoyed me, not entertained me.
"Every time I walk into my office I walk past 5 Lombardi Trophies not 5 rushing titles" .

no car? that's great!
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Yeah, Norm played him the first time but Norm is pretty hard to work with because he doesn't have a driver's license. When they wanted to bring the character back, they got Carolla and Carolla has played Death in cameos ever since.

Really? They always sounded alike, and looked a little alike too.

He and Carolla did both voice Death on Family Guy.

I liked when he did The Man Show with Jimmy Kimmel.

great clinton jokes:
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No idea. The book is apparently called
Jokes From Retirement Parties
, though.

how old?
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Him voicing the character Pigeon on Mike Tyson Mysteries wins for me.

his walter mondale joke in the video in the 1st post above is awesome.
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That's pretty funny. It's all about delivery for Norm.

He just took them from an old book his dad had given him.

"The only time he has something on his mind is when he's wearing a hat"
I don't know why, but that really cracked me up at the time. I've heard it said it's harder to write bad jokes intentionally than good jokes.

http://www.funnyordie.com/videos/661a77b3da/norm-macdonald-trolls-the-bob-saget-roast?cc=d&_ccid=f5d13743-9241-4758-ac19-a87701a28904
that? pretty good.
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Definitely a likeness. In all seriousness, my favorite performances of the real Norm's are his anti-comedy at the Bob Saget roast (I can't explain why but I was in tears and had to pause I really can't explain it) and his stand-up special, Me Standing Up.