Yeah, he did a great one on his UK show a couple of years ago where he was asking an American finacier how much money he needed if he wanted to be a millionaire.
Then he asked him if he wanted to help finance his new business - selling slippers online (cos everyone needs slippers). His trick to make money would be to have his website slippers.com redirect to a pornsite..
classic TV.
I also remember his asking one guy who was getting upset with him if it was because he (Ali G) was black.
I guess you have to have seen him to see the funny side of that!