Watch his special Me Doing Stand-Up asap. Possibly my favorite of all time, but then again it's still fairly recent.
Unless you have already. In which case there's also his CD Ridiculous, all his Conan appearances over the years and obviously the podcast.
Oh and this absolute gem.
Hehe, thanks! I already binge-watched most of his Late Night/TV show appearances^^ I'll check out the special that you posted!