| Year | Title | Role | Notes |
| 1982–1988 | Late Night with David Letterman | Various roles | Also writer |
| 1986 | FDR: A One Man Show | Franklin Delano Roosevelt | Television film, co-written with Matt Wickline |
| 1987 | Action Family | Chris | Television film, co-written with Matt Wickline |
| 1987 | Miami Vice | Danny Allred | Episode: "Down for the Count: Part II" |
| 1987 | The Equalizer | Rags Maloney | Episode: "Coal Black Soul" |
| 1987–1988 | Friday Night Videos | Host, various | 3 episodes |
| 1989 | Tattingers | Spin | 3 episodes |
| 1990–1992 | Get a Life | Chris Peterson | Series regular, 36 episodes |
| 1992 | Medusa: Dare to Be Truthful | Andy | Television film |
| 1993-2015 | The Late Show with David Letterman | Himself/Various Roles | Regular guest, 51 episodes |
| 1994 | The Adventures of Pete & Pete | Meterman Ray | Episode: "Sick Day" |
| 1994–1995 | Saturday Night Live | Various roles | Series regular, 20 episodes |
| 1995–1996 | Murphy Brown | Steve | 2 episodes |
| 1995 | The Larry Sanders Show | Himself | Episode: "Larry's Sitcom" |
| 1995 | The Barefoot Executive | Jase Wallenberg | Television film |
| 1996 | Wings | Steve | Episode: "...Like a Neighbor Scorned" |
| 1997 | Duckman | Dr. Reamus Elliott (voice) | Episode: "All About Elliott" |
| 1997 | Sabrina the Teenage Witch | Warren | Episode: "Mars Attracts!" |
| 1997–1998 | The Naked Truth | Bradley Crosby | Series regular, 22 episodes |
| 1998 | Hercules | Triton (voice) | Episode: "Hercules and the Son of Poseidon" |
| 1998 | The Nanny | Chris Malley | Episode: "Oh, Say, Can You Ski?" |
| 1999 | Tracey Takes On... | Gilbert Bronson | Episode: "Books" |
| 1999–2000 | Dilbert | Dogbert (voice) | Series regular, 30 episodes |
| 2000 | The Outer Limits | Jack Parson | Episode: "Judgment Day" |
| 2000–2001 | Cursed | Larry Heckman | Series regular, 17 episodes |
| 2001–2006 | The King of Queens | F. Moynihan / Pete | 2 episodes |
| 2001 | Ed | Chet Bellafiore | Episode: "The New World" |
| 2002–2004 | According to Jim | Reverend Pierson | 3 episodes |
| 2002 | Still Standing | Jeff Hackman | Episode: "Still Spending" |
| 2003–2005 | Everybody Loves Raymond | Peter MacDougall | 10 episodes |
| 2003–2008 | King of the Hill | Chris Sizemore / Ed Burnett / Rob Holguin (voice) | 5 episodes |
| 2004 | Third Watch | Jeffrey Barton | 2 episodes |
| 2005 | That '70s Show | Mr Bray | Episode: "2000 Light Years from Home" |
| 2006 | Minoriteam | Space Drifter (voice) | Episode: "Space Driftin |
| 2008 | Code Monkeys | Chris (voice) | Episode: "Benny's Birthday" |
| 2008–2015 | Law & Order: Special Victims Unit | Anton Thibodeaux / Pete Matthews | 2 episodes |
| 2009–2014 | How I Met Your Mother | Mickey Aldrin | 11 episodes |
| 2010 | Futurama | V-Giny (voice) | Episode: "In-A-Gadda-Da-Leela" |
| 2011–2014 | Eagleheart | Chris Monsanto | Series regular, 34 episodes |
| 2011 | SpongeBob SquarePants | Captain/Lord Poltergeist (voice) | Episode: "Ghoul Fools" |
| 2011 | Bored to Death | Fishman | Episode: "Forget the Herring" |
| 2012 | Metalocalypse | Klokateer / Dr. Commander Vermin Chuntspinkton (voice) | 2 episodes |
| 2014 | Community | Russell Borchert | Episode: "Basic Sandwich" |
| 2014 | Hot in Cleveland | Luke | Episode: "Elka Takes a Lover" |
| 2014 | The Birthday Boys | Dr. Gerard Loudon | Episode: "The U.S. Healthcare System" |
| 2015–2020 | Schitt's Creek | Roland Schitt | Series regular, 79 episodes |
| 2015 | The Good Wife | Adrian Fluke | Episode: "Hail Mary" |
| 2015 | Nurse Jackie | Vigilante Jones | Episode: "Vigilante Jones" |
| 2015 | The Knick | Port Authority Officer | Episode: "There Are Rules" |
