While he's a New York native and longtime resident of Los Angeles, it seems as if every other film project in his eclectic career was shot on location here - starting with "Harold and Maude," the 1971 box-office failure that became a cult classic and then a genre unto itself.

"Die Laughing" was the film that Cort starred in following his near-fatal 1979 car accident, with a big finale that took place at Club Fugazi (Cort was good friends with the late "Beach Blanket Babylon" creator Steve Silver). And he played the director in the critically acclaimed yet hard-to-find San Francisco movie "She Dances Alone," a quasi-documentary about the daughter of Russian ballet dancer Vaslav Nijinsky.

Next Thursday's salute to Cort is the centerpiece of the Eighth Annual SF Sketchfest, which starts tonight and ends Jan. 31. The Castro Theatre event will feature a screening of "Harold and Maude" followed by a conversation with Cort, 60, who also co-starred in Robert Altman's "MASH," and more recently in Wes Anderson's "The Life Aquatic With Steve Zissou."

There's little chance it will be boring. His scheduled 30-minute interview with The Chronicle lasted nearly an hour, and his most interesting stories focused on the jobs he didn't get. (Cort, born Walter Edward Cox, turned down a major role in "One Flew Over the Cuckoo's Nest," came thisclose to working with Marlon Brando and labored unsuccessfully for years to get his Truman Capote treatment in a theater and on the big screen). Cort also called back later and performed a Capote impersonation that would make Philip Seymour Hoffman jealous, including a joke that can't be repeated in a family newspaper.

Maybe he'll tell it again at the Castro next week.

Q: Had you heard of SF Sketchfest when they called?

A: I got a call from my manager, and she checked it out and said it really is a wonderful group. I started out as a stand-up comic, and I try to find the humor in any situation. It's just the way I was raised (in a) big Irish Catholic family. We didn't have much. We had to come up with stuff.

Q: How did your career as a stand-up comic begin?

They were doing a talent show, and this Christian brother teacher of mine at prep school said "Why don't you just get up there are wail?" ... I got up there and I guess I killed. At the end of my little set, as it were - I was 16 and I'm talking about a set - I noticed this one brother kind of creeping onstage. It looked like he had something behind his back. He said "Let's all thank Walter in a big Iona Prep way."

His hand came up, and I noticed he had a custard pie. For some reason my arm just immediately went up to deflect it, and it went all over his head. That was the biggest laugh I got. And then I said, "OK, this is it. I'm interested."

Q: That sounds like self-defense.

A: Yes! Every once in a while I'd find myself at a ball field, in the furthest position out in left field. And then I'd hear my name being called, and I'd just sort of reach out and make these magic catches. It was sort of the same thing. I just kind of lucked out, you know.

Q: When you were young and performing, were you thinking about Hollywood?

A: No, no. I had done some extra work, and I got a couple of lines in "Sweet Charity." Shirley MacLaine is going to kill herself at the end, and me and three other kids come over. I say "good morning" or "peace and love" and she decides to live. ...

They were great days in the clubs. Lily Tomlin used to work downstairs and we were working upstairs. And she took a liking to me and she would drive me home every night, even though she was in Yonkers, and I was living on 12th Street and Second Avenue.

Q: Lily Tomlin drove you home?

A: Yes. One day I said to her, "How come you always drive me home at night?" She said "I don't want you to get in trouble in the streets of New York." I had just turned 18, and I said, "I'm dying to get in trouble in the streets of New York." So that's when she quit driving me home. But we're still friends today.

Q: I understand you lived with (Groucho Marx).

A: For many, many years. He actually died in my arms. He didn't like it when I would call him this, but he really was my fairy godfather. It's a long, long story. I'm writing about it and hoping to put out a book some time soon about some of the experiences I've had in my wild life.

Q: What's something people don't know about Groucho Marx that they should know?

A: He was extremely smart, like ("Harold and Maude" co-star) Ruth Gordon. People would say, "What is she like," and I would say, "She's like a secretary of state." She was so smart and eloquent and well-spoken. While Groucho wasn't that, he got up every morning and he read the Washington Post and he read the L.A. Times and he read the New York Times. And he wanted to talk about what was going on. He was just so adorable. I miss him a lot.

Q: With most San Francisco films, you tend to see the same handful of locations. "Harold and Maude" was shot all over the place.

Redwood City, Marin County ... Yeah, that was a lovely, lovely time. I'm really fond of that whole experience.

Q: It was a fun shoot?

A: It was fun because I knew how great it was. The moment I saw the script I thought, "This is beyond brilliant." And we shot every single word that was in that script. There was no improvisation. ... But to sell it, I had to really live it. There were moments that were hard, but Hal Ashby was such a loving director.

Q: Is there a movie of yours that you wish people would talk about more?

A: I'm proud of everything I've done, pretty much. I made this great film, I think it's probably my favorite film, called "She Dances Alone," in San Francisco. It's a film about Nijinsky's daughter, who lived there. Her name was Kyra Nijinsky. You look at her and think she's kind of a bag lady, but then she puts on these little ballet slippers and she starts to dance. And you see her father come alive through her. It's the most extraordinary wedding of reality and documentation and fantasy. It was shot all over San Francisco. ... I'm telling you, it's out of this world and it's funny as s-.

A Salute to Bud Cort: 7 p.m. next Thurs. $20. Castro Theatre, 429 Castro St., San Francisco. (866) 468-3399, www.ticketweb.com.

-- See highlights of this year's SF Sketchfest. E6

E-mail Peter Hartlaub at phartlaub@sfchronicle.com.

This article appeared on page E - 1 of the San Francisco Chronicle