I love it and am always impressed when comedians entertaining English-speaking audiences successfully do bits in other languages. I'm also usually surprised, because I end up understanding much more than I thought I would, especially with Eddie Izzard. Seriously, the guy should be a French professor!
FYI - I'm fluent in German, but haven't gotten around to really learning french or Italian! ;)
Anyone have any more examples? Extra points for video embeds or links!