- Is a frequent guest on the New York City drive-time radio show Opie & Anthony, where he adds his own commentary on the bizarre in-studio happenings and of course throws in the occasional Christopher Walken impersonation.
- Did a killer impersonation of Christopher Walken in a skit titled Christopher Walken's Psychic Hotline on Saturday Night Live (1975)
- Has a tattoo on the inside of his bicep which is dated with the word Will. This is in respect of his cousin Will who was killed by a drunk driver
- His wife, Nicole, is a former model who has developed a one-woman show, Next!, about her experiences, particularly dealing with the audition process.
- Is a frequent contributor to The Jungle a radio show hosted by Jim Rome. Jay's razor sharp takes and opinions have earned him the nickname Slam Man on the show.
- Also hosts a first-of-its kind sports variety show, Mohr Sports, which debuted on ESPN in April 2002. He offers his unique and humorous insights on the world of sports in front of a live studio audience. The 30-minute weekly show features a timely, sports-themed comedy monologue, followed by interviews with athletes and entertainment personalities, remote segments and musical performances.
Quotes- "I think I made a mistake once...yeah...it was only once."
- Expressing his displeasure about not getting enough screen time on "Saturday Night Live": "All that waiting around for a glimmer of stage time, just getting angry every week...It was just an oppressive, horrible, horrible place to be. I went to work feeling nauseous."
Awards- Golden Satellite Awards: Best Performance by an Actor in a Series, Comedy or Musical, ACTION (2000)
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