Burr began stand-up at age 23. In 1995, he moved to New York City and lived there for eight months. Burr then moved to Los Angeles, where he worked on a number of film and television projects. He returned to New York in 1999 and moved back to Los Angeles in 2008.
He performs over 150 shows annually, had two movies released in 2006, and has performed on the Late Show with David Letterman, Late Night with Conan O'Brien, and The Tonight Show with Conan O'Brien.
He appeared in five episodes of Chappelle's Show in early 2004, and his HBO One Night Stand special aired in September 2005. Burr has appeared on the Bob and Tom Show, as well as on the Opie and Anthony Show on XM Satellite Radio, sometimes sitting in when third member Jim Norton is away.