- Suffers from stage fright
- Has a tattoo on the inside of his bicep that is dated and contains the word "will," in respect of his cousin Will, who was killed by a drunk driver.
- Co-creator of Last Comic Standing (2003).
- "A constant struggle to get on camera" is what he called Saturday Night Live (1975).
- The youngest of five siblings of English, German, Scottish, and Welsh ancestry, Mohr is brother-in-law of Matthew Cox and a cousin of late night talk show host Conan O'Brien.
- Impersonated actor Christopher Walken in a Saturday Night Live (1975) skit titled "Christopher Walken's Psychic Hotline".
- Legally changed his name to Jay Ferguson Cox Mohr as a second anniversary present to his wife Nikki Cox. However, the couple sued for divorce in July 2016 citing "irreconcilable differences". They have joint custody of their son (Meredith Daniel Mohr; born 2011).
- He is a frequent guest on the New York City drive-time radio show "Opie & Anthony," where he adds his own commentary on the bizarre in-studio happenings and, of course, throws in the occasional Christopher Walken impersonation.
- He hosts a sports variety show in the vein of Frank Skinner & David Baddiel's Fantasy Football League (1994), called Mohr Sports (2002), which debuted on ESPN in April 2002. He offers his unique and humorous insights on the world of sports in front of a live studio audience. The 30-minute weekly show features a timely, sports-themed comedy monologue, followed by interviews with athletes and entertainment personalities, remote segments, and musical performances.
- Favorite songs: "Don't Let Me Down" by The Beatles, "All the Way" by Frank Sinatra, "Monkey Man" by The Rolling Stones, "How Can You Mend a Broken Heart" by Al Green, "Across the Universe" by Rufus Wainwright.
- Has starred in Ghost Whisperer (2005) and Hereafter (2010) both of which were about an afterlife.
- Mohr's ex-wife, Nicole Chamberlain, with whom he has a son, Jackson Mohr (born 2002), is a former model who wrote a one-woman show called "Next!" about her experiences, particularly dealing with the audition process.
- Mohr has been a frequent contributor to "The Jungle", a radio show hosted by Jim Rome. Mohr's takes and opinions have earned him the nickname "Slam Man" on the show.
- Born the same day as River Phoenix.
- Fan of the New York Jets.
- Is the author of two memoirs: "Gasping for Airtime: Two Years in the Trenches of Saturday Night Live" (2004), and "No Wonder My Parents Drank: Tales from a Stand-Up Dad" (2010).
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