“I’m So Good I May Never Come Back Here.”

I was on an elevator with Anthony Jeselnik a couple years ago. Before I got the chance to say anything another guy hopped in and immediately starting gushing. He claimed to be a huge fan who had kept Jeselnik’s first Comedy Central special on his DVR for two years. Jeselnik smirked and slid into his ultra-arrogant persona.

“If you’re such a big fan, why the hell did you delete that magnificent piece of art off your DVR?”

The guy was dumbfounded. But he should have known better. Jeselnik paused for effect, then told the guy he was only kidding in a very insincere, continuing-the-joke way. I thought it was hilarious.

If you perform the kind of material in Jeselnik’s act, you have to be confident. Cancer and dead baby jokes don’t work if you waffle. Jeselnik gets dark; I’m talking deep space, depths of Mordor, Chronicles of Riddick dark.

The last time Jeselnik was in town to make his satirical sacrifices he set up shop for two nights at Turner Hall Ballroom. His star was rising fast at the time; a critically-acclaimed debut album (“Shakespeare”), popular appearances on Comedy Central Roast and a TV show in development.

The Jeselnik Offensive debuted last year to positive reviews, but was cancelled by Comedy Central after two short seasons, supposedly due to a dip in ratings. During his set at the Pabst Theater on Saturday night Jeselnik said that when he was first told he was getting a TV show his response was, “This is gonna be quick.”

Jeselnik, a Pittsburgh native, is well-aware that his act attracts controversy. Considering he spent three nights in Wisconsin, stopping in Madison and Green Bay before his gig Saturday night in Milwaukee, he must believe we’re a pro-Jeselnik state. He quickly put that vote to the test after a rowdy fan shouted out, “This ain’t Turner Hall!”

“That’s right, this is not Turner Hall,” Jeselnik calmly replied. “I played there two years ago and it was great, but now two years later my career’s gone so well that I get to play the Pabst. And if my career keeps getting better, next tour I’ll be able to skip Milwaukee altogether.” Huge laugh.

During his relatively short career Jeselnik has built a strong enough following that he no longer needs to win over an audience with a deluge of diabolical one-liners. That’s not to say he didn’t perform some great new material, but he took more time to work the crowd, inject anecdotes and play up his persona. He took requests and answered questions, all while sipping a Spotted Cow. The jokes involving his family took on an extra layer of awkward, as one of his sisters was in the house with her husband.

The opening act was Emily Heller, a young, self-deprecating Jewish comedienne, who killed with a Holocaust joke she claimed she can only do at an Anthony Jeselnik show. (“How is it that so many people win Oscars for Holocaust movies and none of them have ever thanked Hitler?”)

In rare form, Jeselnik closed the show by getting personal. He defended the charge that he is “making fun of victims” when he posts a joke on Twitter the day of a tragedy, which he suspects led to the demise of The Jeselnik Offensive.

“I’m not making fun of the victims,” Jeselnik explained. “I’m making fun of the people who hear about a tragedy then go online and say the exact same thing, “My thoughts and prayers are with the people of (location of tragedy).” You know what your thoughts and prayers are worth? Nothing. Less than nothing. All you are doing is saying, “Don’t forget about me today.” You’re the worst. You’re like a wedding photographer who only takes selfies.”

The real pleasure of an Anthony Jeselnik live performance lies in that anxious moment before a punchline. You’re not exactly sure where it’s going to go, but you know it’s going to be somewhere between twisted and evil, and that’s exhilarating.

When you laugh at a Jeselnik joke, you’re not really laughing at that specific subject. You’re laughing at a closed-minded way of thinking, the kind that has so tightly wound the world it is choking itself with religious and moral indignation. After all, if you don’t laugh, you might cry.