Caliendo does funny impressions on the radio in small bits, but I don't get all why anyone thinks he's funny in extended segments dressed up as whoever he is doing an impression of.
He definitely is better on the radio ad-libing. I heard him on with Lance Zeurlein one time on 790. Lance was reading off some list he found online of the top 50 breakfast cereals of all time. Caliendo was just talking about each cereal in whatever voice he chose. It was great. I had no idea the guy had an absolutely spot on Morgan Freeman impression, which he probably never trots out on TV because it's kind of hard to pull off that visual.
