Lots of musical ones, but my favourite memory is a piece of repartee at the Ampersand back in the 60's. Both guys were not noted for backwardness or sluggish wits.

Pete was onstage doing his floorspot, and Dave (Dave4Guild) was chatting to someone at the bar, not very quietly.

Pete: "Dave!"
Dave: "What?"
Pete: "Shut Up!"
Dave: "So's mine! Do you think it's the weather?"
(Audience roars with laughter.)
Pete, with wry grin: "Spoken like a true professional: Your mother!"

Great club, great days.