When it came time for Bob Zany to shoot the concert portion of an autobiographical documentary, Galesburg, Ill., and the Orpheum Theatre were logical choices.

"I really loved the theater and the audience," the comedian said in a telephone interview from his home in Los Angeles.

Zany had played the circa-1916 theater previously during a show with other stars from radio's "Bob & Tom Show," and he liked the building for its comedic history: Showbiz lore has it that the Marx Brothers were given their stage names there.

"The smaller the market, the more appreciative the audience," he said. "When you go to bigger cities, the audience is so split up. This has more of a community feel to the whole thing."

Zany, 48, will get a feel of the community before taping his Friday concert, including a 5 p.m. parade today and a performance at a nearby assisted-care facility.

"Close But No Cigar" is Zany's documentary recalling his 30-plus years in show business that began with a spot on "The Gong Show" during the 1970s.

"I just looked at all these tapes and putting in 30 years of show business and said there's got to be a story here," he said.

The documentary includes interviews with fellow comedians Carrot Top, George Wallace and Ralphie May.

It also shows what goes into his comic routine.

"People always see the finished product when you perform," Zany said. "They don't see what it took to get there, and that's what we were trying to do."

Also on the bill are "Bob & Tom" co-host Chick McGee, comedian Christine Stedman and magicians Keith West and Brandy Bell.

Besides being a weekly regular with his "Zany Report" on "Bob & Tom," he had an acting role in "The Informant!" the Matt Damon movie that was released earlier this fall.

The documentary and performance eventually will go on DVD and be shown on cable TV, Zany said.

Zany said he is trying for a full house for the performance, despite being told there would be a lot of walk-up traffic.

"They're going to walk up and be disappointed if they don't get tickets," he added.