An eight-year veteran of Saturday Night Live, Horatio Sanz went up through the ranks at Chicago improv theaters like Second City and ImprovOlympic to become a founding member of the influential sketch/improv troupe Upright Citizens Brigade in the early '90s. Since departing SNL last year, he's kept busy with supporting roles in films like School For Scoundrels and Lucky You. Before he appeared in Chicago with a group of performers dubbed The Kings Of Improv (which includes fellow UCB founder Matt Walsh and Late Night With Conan O'Brien writer Kevin Dorff), The A.V. Club spoke to Sanz about leaving SNL, laughing during sketches, and buying pornography.

The A.V. Club: How do you know when it's time to leave Saturday Night Live?

Horatio Sanz: You don't really know. It's such a fun and easy thing once the nervousness of being there [wears off] and you're not afraid of getting fired. Once you're finally in a place that you're really comfortable, that's when you should probably be leaving, unfortunately. I think most people stay two or three years longer than they should, because it's very simple, the vacations are great, and you get good at what you do. It's like any job, you're like, "Oh, I know how to do this." You know it's a temporary thing, but it's easy not to walk away from. You find yourself going, "I'll leave next year, or I'll leave the year after." But it's a job you probably shouldn't be at for longer than five years, to be honest.

AVC: What did you learn in five years?

HS: Obviously, I don't get people coming up to me saying, "I hate when you laugh on the show," but I understand some people don't like that so much. I get a lot of people going, "That was the best, when you and Jimmy [Fallon] would crack each other up."

AVC: Why do you think that bothers so many people?

HS: I think people are purists about what sketch comedy should be, and I think sometimes having too much fun can be a little annoying to some people. Especially my process and Jimmy's process—it was never to be perfect on camera, it was to show we were having fun. We didn't specifically go out trying to make each other laugh—I mean, we did try to make each other break, but it wasn't about "Let's break so the audience will think it's funny." That was never the intention.

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AVC: It was a side effect of you having fun.

HS: Yeah, we wanted it loose; we wanted to have fun. I think that's something the audience for the most part enjoyed. It's a live TV show, and it's not like this document. It's not this perfect piece of artwork. We rewrote it two times and rehearsed it for cameras a few times. Some people are very exact in their process, but that was never the way we did it. And I thought, "Let other people do that. I will just add this part to the show." It's not my show, and it wasn't anybody else's show. You just bring your ingredients—what you think makes you laugh.

AVC: By design, though, the show can't really be perfect.

HS: Lorne [Michaels] always said that we don't do a show because it's ready; we do a show because it's 11:30. That's the truth. People are like, "Oh, the show sucks." The show doesn't suck. It's pretty fucking good for being created on a Tuesday and up on Saturday. I'll challenge any group of individuals to do anything better in that time. It's not an easy feat. They're really funny people, and if something's not that funny, it's because the host has a word in it, and the producers have a word in it, and sometimes they make decisions for that show that's not my sensibility, or the hipper comic fans' sensibility. I always wanted the show to be more like Mr. Show, but you can only fight so hard.

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AVC: The show is an establishment.

HS: The hardest thing to come to grips with is, it's not your show no matter how much you're on it, or how good you are on it. It's Lorne's show, and Lorne wants an audience, and Lorne wants it to be pertinent to young people growing up. That's why Paris Hilton goes on the show, or Monica Lewinsky. He wants to be in the news. He wants it to be popular now. He wants people to be thinking, "What's Saturday Night Live thinking about this story going on?" It's important for him that the show's popular, not just funny to people in comedy.

AVC: Those are the people who will be the most vocal critics.

HS: Exactly. When I was on it, I was furious at some of the choices that were being made. None of us are all happy about every choice that's being made, but that's another part about being there for a while. You start seeing why they do it, and you've just got to try to get your punches in while you can.

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AVC: There's a rumor going around the Internet this week that you're dead. How's it feel to be a dead man?

HS: Is there really? [Laughs.] I actually feel pretty good lately, so I guess it's good to be dead. [This rumor] has been going around for a while. Not that I'm dead, but The New York Times wrote an article about me in their magazine section, they said, "You have a very dangerous job. The big guys on your show have all passed away." I said, "Yeah, you know. I'm not necessarily afraid of dying, but when I'm 33, I plan on walking around with my doc and a nurse." They made the whole article about that. The article became—instead of the new guy on SNL, it became "This guy has the world's most dangerous job." There's that, and every once in a while it comes up on death pools. But I'm doing pretty good. I go to a doctor and make sure that I'm all right, and I've been losing weight, so I think I'm all right.

AVC: So you're not dead yet.

HS: Hopefully I'm not close.

AVC: You did a Christmas show at the UCB Theatre in New York last winter, and also did some Christmas songs on SNL. Is Christmas inherently funny to you?

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HS: Oh, it's not really that I think Christmas is funny. I think the idea of doing a holiday special is kind of sweet and heartfelt. And then, I guess just by nature of me doing a Christmas special, it's hopefully a little strange. And it's not the dark side of Christmas. It's not like Bad Santa or something. It's me doing my Christmas special, and just little weird things in it.

AVC: You have GG Allin and John Wayne Gacy sharing their last Christmas in your show.

HS: Exactly, but there's a sweetness to it. [Laughs.] The sweetness is their friendship. They really were friends. So that sketch is, I think, actually a pretty sweet scene. [Laughs.] These two troubled dudes were friends. That's the sketch in itself. That's always the kind of thing that I like to do.

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AVC: How do you maintain a high profile after leaving SNL?

HS: You don't. You just try to stay busy. I go to L.A., and I'll do a movie here or a movie there. In New York, I do [long-running improv show] ASSSSCAT, and I do some shows at UCB, theater-wise. I had a pilot [Business Class] that was written by The Simpsons writers Bill Oakley and Josh Weinstein. That was something of quality that I was proud of. It didn't go, unfortunately. I'd like to do a show that's not a sitcom. This stuff was never about me being famous or driving a Bentley in Beverly Hills. So I go out in New York and I'm not in front of cameras a lot. I'm okay with that life.

AVC: So you don't necessarily want to be hugely famous?

HS: I'd love to be working more often, but, as far as, "Dude, I wish I was out there in the mainstream on Extra," I'd much rather be where I'm at now, where I can buy my own porn and not have people laugh at me from a distance. [Laughs.] Who buys porn anyway, nowadays, right? Not that I would buy porn, but I was always afraid—how do I buy porn now if I want to? Because people kind of knew who I was.

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AVC: You had people buying porn for you?

HS: No, I mean, I would've—this is going to sound like a guilty thing, but I never bought porn unless it was a joke. [Laughs.] You know, like those three-packs you get in old liquor stores in L.A. There's this weird subculture of porn magazines that are like Over 70, and there's a three-pack where they don't show you what you're buying. It's like a mystery three-pack. There'd be like Over 70 or Super-Fat Ladies. And then, I don't know, only women with moustaches. Some shit like that.

AVC: So you're comfortable with anonymity.

HS: Let's say I wanted to buy porn in New York, like, two years ago. It'd be weird. People'd be like, "Oh, that's Horatio Sanz buying porn." And I've actually had that thought, but I honestly never purchased porn at one of those stores. But I thought, "What if I wanted to? I'd have to send an assistant or something."

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AVC: Now you can do it yourself.

HS: [Laughs.] But there'd still be someone like, "Is that Horatio Sanz? He's just a little thinner. That guy used to be on SNL, and now he's buying porn here."