Paul Mecurio always has something to say. His quick wit has served him well as a stand-up comic, a writer for "The Daily Show" and a Wall Street hotshot.

The only time Mecurio was at a loss for words was when he was audited by the IRS 15 years ago after he left a lucrative gig for a shot at comedy.

"I ate about $2,000 worth of junk food being on the road, and they called me in to ask me about it," Mecurio said by phone from his Manhattan apartment. "I explained that I was a lawyer and an investment banker on Wall Street and I left to become a comedian.

"The auditor looked at me like I was crazy and said, 'Do you understand that with an audit, insanity is not a defense?' I told him that I'm pursuing what I'm passionate about. He said, 'Are you crazy to give up all that money for passion? If you want passion, set your testicles on fire.'"

Mecurio left Wall Street at its mid-'90s peak. The move was hardly pragmatic. However, Wall Street gigs aren't as secure as they once were. The charismatic humorist, who won a Peabody Award and an Emmy during his eight years on "The Daily Show" (he left in 2006), has paid his dues and is hoping to jump to the next echelon.

"That would be nice," said Mecurio, whose run began Wednesday and continues through Sunday at Rick Bronson's House of Comedy. "I'm doing what I can to make that jump."

HBO is running his Web series "Got No Game," which can be summed up as "The Daily Show" on sports, poking fun at instant replay, mascots and referees.

"I've always enjoyed sports, and it's been so much fun putting 'Got No Game' together," Mecurio said. "What we're about is a funny interpretation of sports news. Every other aspect of our culture gets picked on except sports. Why shouldn't we have some fun with sports? It's not sacred."

Mecurio also has an autobiographical sitcom pilot ("Who Am I?") in development. When he isn't working on television vehicles, he devotes his time to stand-up.

One of his strengths is working the crowd. The Rhode Island native is adept at improv.

"That makes every show different," Mecurio said. "I like living in the moment and having fun with the people who come out, but I have plenty of prepared material."

Expect Mecurio to get topical.

"I've been doing my part to be green by riding my bike and using energy-efficient lightbulbs," he said. "Meanwhile, BP is dumping a million gallons of oil in the ocean every day.

"The upside to this is that you can be the biggest environmental jerk and you'll still be all right. You could dump a load of infected needles into the ocean while clubbing a baby seal and setting tires on fire and people will say, 'At least he's not BP.'

"And then there's the global-warming situation. There is an upside that nobody talks about. Turkeys will baste in their own juices. Apples will bake on trees."

Mecurio doesn't understand why Osama bin Laden has yet to be captured.

"He's 6-8 and is followed around by a camera crew. How hard could he be to find? He's making 'Jihad Gone Wild 4.' I'll tell you how to find him. Have a telemarketer track him down. 'Hello, Mr. Bin Luden, how are you today?'

"He'll be running out of a cave. 'Verizon, leave me alone!'"