My favorite Fancy Ray McCloney story is from last month's Replacements tribute at First Avenue. Fancy Ray was on hand for an onstage cameo singing "Buck Hill" (the title also contains the song's complete lyrics), and someone, spotting the comedian, asked, "Hey, Fancy Ray! How you doing?"

Without missing a beat, Fancy Ray replied, "Sexy, sexy, sexy!"

Among Minnesota icons, Fancy Ray is perhaps the least likely. Even the calculatingly bizarre Scott Seekins reflects our state's obsession with the weather, ceremonially changing from winter black to summer white. Fancy Ray seems to have warped in from another place, another time, possibly another dimension. Gleefully narcissistic, he calls himself "the best-lookin' man in comedy," and Google—the ultimate authority in these matters—agrees.

Solidifying the perennial 29-year-old's status as a Twin Cities treasure, Secret Stash Records—the label known for reviving underappreciated gems of local, national, and global music—is releasing an album by Fancy Ray. The album, according to an e-mail inviting friends and press members to a recording session, "will feature the comedic stylings of McCloney laced with funky instrumental music performed by our house band, The Lakers."

On January 17, the subterranean Secret Stash office at Lake and Lyndale was turned into a comedy club for two sets from which the comedy portion of the album will be extracted. Friends and press were invited to sip Summit from red Solo cups while we sat on folding chairs and contributed a live laugh track. I attended the first set, sinking into my seat guiltily since I'd forgotten to bring the requested food shelf donation.

After warmup sets by Maggie Faris ("Just so you know, I'm not a newsboy: just another middle-aged lesbian") and Kristin Anderson ("My 12-year-old daughter is starting her cycle as I'm ending mine, so you can imagine how much fun it is around our house; my husband had to build a wailing wall"), emcee Herb Brown introduced Fancy Ray. The self-declared "Human Chocolate Orchid" came bounding up in typically flamboyant garb, his hair in tight curls and his shirt open at the neck to reveal a smoothly shaven chest and a gold-star pendant.

I'm not a comedy aficionado—after memorizing several Bill Cosby albums in grade school, I burned out—but the dry, gently self-deprecating humor of Faris and Anderson was typical of the Minnesota comedy I've seen. Fancy Ray is another story entirely. His act consists of a cascading series of boasts, punctuated by stomps and grunts. He's a real physical presence on the stage, exerting so much energy on Friday that he broke into a sweat within minutes, removing his suitjacket to whoops and cheers from the appreciative audience.

Fancy Ray has gags, but his schtick is less about laugh lines than about the sheer spectacle of his self-presentation. I found myself laughing hardest at lines that barely even made sense: "I'm so good-looking, every time I masturbate I get a tax deduction!" The preening alone would make for a solid set, but after a half-hour or so of that, things started to get interesting as Fancy Ray pivoted from some shopworn battle-of-the-sexes humor ("The man always wears the pants in a marriage, but the woman chooses what pants he wears!") to gags about his own semi-androgynous identity. "I'm not homosexual," Fancy Ray declared, "but on Gay Pride Day, my nephew brought me to school for show-and-tell."

Fancy Ray has lived a lot of lives: cable access host, pitchman ("I'm not a prostitute," he said on Friday, "but...if you have bad credit or no credit, I can put you in a vehicle today!"), reality TV contestant (judge David Hasselhoff did not agree when Fancy Ray, at his America's Got Talent audition, called himself "a present to the whole world"), gubernatorial candidate (his name appeared on the strange ballot that resulted in the election of Jesse Ventura), poet. He gave L.A. a shot; things didn't work out, so now, it seems, we have Fancy Ray back for good—and that is good.

He may not be everyone's cup of hot orchid chocolate, but in Fancy Ray's act, decades of American cultural history—from the Borscht Belt to the Bible Belt—are put into a blender. His style pays homage to Little Richard and other over-the-top entertainment legends, and he's not afraid to call out the sexual ambiguity that's always been part of those entertainers' mystique. Fancy Ray can make you cringe like a creepy uncle (I wonder if that prison-rape gag will end up on the record), but he can also make you think—and, yes, laugh.