He was a regular guest on Jasper Carrott's UK show in the late 80s. It was most strange context-switching from a genial Brummie comedian to an acerbic American singer.
Edit: Song for Loudon Wainwright III by his daughter: https://www.youtube.com/watch?v=Cdvk7O3Tz6A. Don't know if he deserves it or not, but it's a remarkable song.
Apparently!