I wouldn't watch any Pegg stuff he hasn't had a hand in creating. He's fast turning into 'goofy romcom guy' outside of his own work.
He did some funny stuff on an old UK sketch show 'Big Train':
http://uk.youtube.com/watch?v=LaAZXPlv0u4
http://uk.youtube.com/watch?v=r7xgiO_NdkQ (monkey impression!)
http://uk.youtube.com/watch?v=zn6Z9djh8eA
http://uk.youtube.com/watch?v=P8VAJSXsIFo
You may also recognise some other British faces in comedy, specifically Mark Heap (Brian in Spaced) who is fantastic.