I didn't like "Dress Your Family..." neary as much as his previous books. It kind of broke my heart. I have the same problem with Augusten Burroughs - his funny is just too sad (although he grew up in and writes about the town I went to college in, so it's always fun to read about things that are familiar to me).
That said, my mom and I have been trying unsuccessfully for years to read Santaland Diaries to each other.. We get to the sentence about Gerome being a difficult Santa, "moody and unpredictable" and just dissolve in laughter. I tried reading "Naked" to my FW (she's never read Sedaris! Can you believe I'm marrying this woman?!?) and had the same problem. I need to get the This American Life CD, and the Carnegie Hall CD that someone mentioned above.
Just a moment of gloating - I went to a book signing a while back and Sedaris told me that I have beautiful teeth! I'm still trying not to let it go to my head..