It’s possible to see David Wain’s career as a skeleton key for the past thirty years of comedy. In the nineties, he was part of the State, an eleven-member troupe that formed at N.Y.U. in 1988 and had its own antic sketch show on MTV from 1994 to 1995. With its dumb-smart, self-conscious brand of anti-comedy, the eponymous show was a Gen X answer to “Saturday Night Live”—and MTV’s attempt to bottl...