Similar to Monty Python, each sketch was connected to the last scene in some way to keep the show continuous.
Even though Bob and David joke about getting hate mail a lot in Mr. Show, the only time they actually received some was from a military veteran offended by a sketch where a character attempts to defecate on an American flag. Bob and David then called up the veteran and realized he hadn't watched the entire sketch, because the character never successfully managed to defecate on the flag.
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