I think it was an old one, like 2000s. Might have been comedy central presents, and it was either Zach Galifinakis or someone built like him with big bushy red-brown hair.

What I remember was that he was doing his comedy thing and was halfway through the show. He's walking across the stage as comedians do when they're between bits. He walks up to a coat-rack, reaches his hair and pulls off a wig and puts it on the coat-rack. It was so out-of-the-blue, so unexpected. He didn't linger on it either and his hair looked no less puffy after he took off that wig.

The absurdity killed teenager me. I think it was a decade ago that I saw it either online or on Comedy Central. I checked clips of Zach's first CCP special, but I don't think that's it. This is how the show starts: https://youtu.be/siOYIUtHu_g and I don't see the coat-rack.