Interesting to hear that Robin Williams did a surprise gig in front of a small crowd of comedy nerds at Aldwych's Chuckle Club on Saturday night in advance of his Prince's Trust shows this week. Before you could say "Nanoo Nanoo" the former star of Mork and Mindy had whizzed in and done some slick gags about Barack Obama much to the shock of the stunned crowd. And presumably he didn't ask for a fee either.

One of the constant joys of the London comedy circuit is the chance to see a big name up close and personal – and cheap. Stadium fillers Williams and Chris Rock have both previously pitched up at the relatively intimate Comedy Store when they've been in town, but big British stars often road-test their material in smaller venues too.

Frank Skinner talks entertainingly about returning to the spit-and-sawdust circuit last year in his new book, On The Road. Doing a club gig to see if he can still cut it he meets a young comedian called Rich Wilson who introduces himself by saying "I'm Rich". Millionaire Skinner says "so am I". I once saw Skinner in a tiny Hampstead pub doing material he did a few nights later when presenting the Brits and I have to say I enjoyed the pub set more. Some low-profile shows are a real shock. A couple of weeks ago I saw Chris Langham make a totally unexpected appearance at a gig in Farringdon, which really took me back.

Over the years I've seen a lot of great acts getting back to their roots by either doing unlisted gigs or low-key advertised shows and they've not always been a roaring success. Harry Hill had a hard time on a boat on the Thames, Alan Davies was interrupted by an audience member who joined him onstage at the Banana Club in Balham. One was worse for me than the act. I sat so close to Al Murray's Pub Landlord in a Battersea venue as he dribbled beer that I should have sent him my laundry bill.

I've missed a few big names in little places. Lee Evans regularly warms up for his mega-tours at the Glee Club in Birmingham, which is off my beat, while Lenny Henry has tried out new gags at lunchtime in a Soho pub round the corner from his office when I've been deskbound in another part of London. In July the Mighty Boosh boosted their hipster credentials by test-driving their musical set in East End club Cargo.

As one comedian once said, being famous doesn't gain you too many advantages in these situations. Maybe a couple of minute's grace and then if your material isn't up to scratch the audience will give you as hard a time as a novice. And maybe that is why comedians do it. If you are about to go on tour and charge in the region of £40 for a ticket you want to make sure your gags work. And where better to try them out than on the cheap? Fans can hardly complain if you aren't funny – they've either paid nothing or less than a tenner, which is pretty good value even in these hard times. Plus they've got a great story to tell their mates at work the next day.