I really like Pete Holmes' podcast You Made It Weird. He talks to other comics about stuff that's... weird, and he's an inquisitive, easily-entertained host who's great at sharing his own weirdness in order to draw it out of his guests.
The newest episode with Ari Shaffir is a great example of what the show does well: In an easy, hyper-articulate conversation, the two dudes cover how their religious upbringings fucked 'em up; being bored with conventionally attractive women; what it's like to get rejected for a one-night stand; how drugs convey a feeling of religious connectivity; and plenty more. Sometimes I don't notice how funny Holmes is because he's so damn affable—a quality that probably explains why Conan O'Brien's production company tapped Holmes for a late-night pilot.
Holmes is at Helium tonight through Saturday. I missed him at Bridgetown, and I've never seen him live, but I bet he puts on a great, "everyone's in on the joke" kind of show. Tickets live here.