Dunham has been called "America's favorite comedian." His style has been described as "a dressed-down, more digestible version of Don Rickles with multiple personality disorder".

Jeff's routine has been described as "politically incorrect", gratuitously insulting, ill tempered... and also incredibly funny. With headline-generating performances in over 20 countries, including the United Kingdom, France, Germany, Norway, Sweden, Denmark, Australia, China, South Africa, and the Middle East, Dunham understands what connects people – regardless of culture, gender, age or political beliefs.

He creatively adapts to local customs or concerns; in 2014 when the Malaysian government requested Achmed not be part of the show, Dunham enlisted Jacque Merde, the Dead French Terrorist, who looked suspiciously like Achmed, but instead donned a French chapeau, rather than the trademark white cloth headpiece…