Typical. you wait ages for a comedy gig in an unusual setting and then a whole rash of them arrives like a platoon of red London buses. Last Thursday Laughter In Odd Places, the organisation which has bravely pioneered the idea of gigs in bookshops, launderettes and my lounge, staged their final ever gig in the Museum of London. Among the highlights Ben Moor did his show outside on the grassy knoll (no snipers in sight, luckily), Sarah Pascoe did hers in the middle of an exhibition on old Londinium, while Richard Herring apparently did his set in a bit of a drunk state due to the free wine.

Then on Friday Mark Thomas did his own guerilla gig in the squatted Brentford home of Labour MPs Alan and Ann Keen, who have been claiming for a second home in central London.

And now tonight (Thursday) Ruby Wax is in the Priory. Not for rehab-style treatment but to do stand-up. Wax has been learning about mental illness recently and has just become Patron of the charity Depression Alliance, which the gig is in aid of. Understandably journalists are not being admitted, given that her audience might include a few famous faces who wouldn't want their presence publicised. Which is a shame. The links between comedy and mental illness go back a long way (Spike Milligan quickly springs to mind) and it would have been intriguing to see how Wax's material went down in this site-specific venue. She is planning a proper tour too, so we will get a little flavour of this unique gig then.

The brilliant thing about comedy is it can be done on the hoof. No big set-up or soundcheck is needed. All one needs is an audience prepared to listen and some jokes and one can perform anywhere. In fact I was wondering while writing this article why we don't see comedians busking on the underground or on the streets. And then a news story popped into my inbox about Jerry Seinfeld doing just that. Not for real – the superstar hasn't fallen on hard times – but for an ad for an Australian Building Society that you can see here. As I said comedy happens in a lot of odd places these days.