There's also been a part in PS writers Jesse Armstrong and Sam Bain's new show Fresh Meat, and most recently he's taken over from Rufus Hound as a team captain on Dave's original panel show Argumental. We got on the phone to ask him all about it.
So what can we look forward to over the next series of Argumental?
"Arguments. Sean Lock making lots of jokes and looking slightly disappointed at me because I'm not arguing enough. I'm an odd choice really, because temperamentally I'm not a particularly argumentative person. I've had to become more grumpy than I normally would be."
What's it like standing by Jimmy Carr when he does his more uncompromising stuff?
"There are occasions where Jimmy or anybody makes a joke that you're running past your own internal PC monitor thinking: 'Do I really want to be seen to be laughing at that?' But then again, jokes are there to be jokes really - he very rarely did that.
"You don't want to be the Richard Hammond character chuckling along with the school bully, but there were no school bullies. I'm perfectly at liberty to go, 'Well, hang on', but I didn't particularly feel the urge to go 'hang on' at any moment."
What's your stance on the material that the likes of Frankie Boyle and Ricky Gervais have got in trouble for?
"I don't really want to go into all that because I don't want to criticise other comedians. There are choices to be made. Whenever I've written jokes with David, if you're in a dodgy area you have to be quite certain what the joke is doing and whose side it's on.
"If you're confident that you could defend it and say that you're on the side of the angels - you're not taking the p*ss out of people with cancer, you're taking the p*ss out of attitudes to it - then that's fine. I suppose with some of Frankie's stuff, you sort of wonder if he's gone through that process.
"And Ricky defending the use of the word of the word 'mong' is clearly wasting his time. It's not really a battle worth fighting. So basically, that's always been my rule. I heard Jimmy say once that comedy is a holiday for the conscience, I think that's probably an absolute position that I can't quite follow. It dodges the emotional impact of what jokes do."
Can you tell us anything about the next series of Peep Show?
"I'd love to be able to tell you that I'm far too important to pass on that information, but actually I've got absolutely f**k-all idea. Sam and Jesse have been writing it. I know that we're doing it next spring/summer - so I guess they're working out the stories now.
"They spend a huge amount of time working out the structure and the plots, and then I think they treat themselves to some jokes the day before we stop recording! I've genuinely no idea. I know that Jeremy was about to move out. I suspect that won't happen, otherwise there wont be a Peep Show."
Peep Show seemed so different when it came out. Did it feel different when you were making it?
"Yes and no. It felt different in that it's a very laborious and awkward way of filming something. All this POV stuff, it takes longer. But if you just look at the scripts and ignore that aspect of how its presented, this is a very traditional setup. It's the anal one and the laidback one sharing a space and having arguments and going on adventures and ballsing it up with women. Which is a fairly well-trodden path for any sitcom.
"The strength of Peep Show has always been that that it's quite traditional, but it's obviously presented in a very new way. Well, I say new - we've seen POV stuff before and we've heard internal monologues before, but to do it so bloody-mindedly, the two combined was new-ish.
"Then you couple that with what everyone was doing post-Royle Family, slightly mumbling vérité low-key performances, and it suddenly looks very contemporary."
How many more series would you like to do?
"I think the four of us sort of made an informal pact really, as soon as the second series was commissioned, that we want to do for as long as they'll let us. There are so many really great sitcoms that could have gone on much longer, but there was this idea that you do two series and you walk away and you're a bit cool about.
"We always felt that it's really hard to find one of these things that actually works, so that when you do, you just want to keep doing it. Until it feels tired, but Sam and Jesse do such a good job on keeping it fresh.
"They work so hard on those stories and on those jokes and bringing new characters in - Dobby has been such a success. My favourite series of Peep Show is always the most recent one, which I can say with all honesty because I don't write it. It gets better and better."
Jesse and Sam worked with Chris Morris on Four Lions - are you a fan and would you like to work with him in the future?
"Oh god, yes. I'm a huge, huge fan of Chris Morris. I think he's a genius, and it is not a word I use very often. I think he's fantastic.
"I did do an audition/improvisation for Nathan Barley with him once, and that was a thrill in itself - I didn't get anything, but it was a pleasure to sit in a room with him. I think he's great."
You're in The Wedding Video alongside Lucy Punch - did your bad experiences on Confetti make you wary of movies?
"If I was then The Wedding Video's completely cured me of it, because this time I've got a script and a pair of underpants, so I'm more or less invincible. Nigel Cole the director is eminently trustworthy and brilliant. I'm really excited about what we've done and I can't wait to see it."
What was it like to work with such a stellar comedy cast on The Bleak Old Shop of Stuff?
"It's a complete joy - every day is another comedy hero wandering around. There was Stephen Fry and Johnny Vegas and Tim McInnerny. They had Una Stubbs in for a day and Phyllida Law and Katherine Parkinson, and David's in it for a bit and Kevin Eldon. It's just brilliant.
"It makes your job so much easier because you look good by association, not by comparison, when you're surrounded by all these great people and you can't help but enjoy it. Hopefully, that comes through."
Will you and David do another series of The Mitchell and Webb Look?
"There are no plans sadly for another series of sketches... you'd have to ask the BBC!"
Argumental continues on Tuesday at 10.40pm on Dave