Answer by taking a quote from the following article:

Paul Reubens (ne Rubenfeld; born August 27, 1952) is an American actor, writer, film producer, game show host, and comedian, best known for his character Pee-wee Herman. Reubens joined the Los Angeles troupe The Groundlings in the 1970s and started his career as an improvisational comedian and stage actor. In 1982, Reubens put up a show about a character he had been developing for years.

Reubens auditioned for Saturday Night Live for the 1980-1981 season, but Gilbert Gottfried, who was a close friend of the show's producer and had the same acting style as Reubens, got the place (ironically, Gottfried would later get in trouble for joking about Reubens' indecent exposure arrest as an award presenter at the Emmys). Reubens was so angry and bitter that he decided he would borrow money and start his own show in Los Angeles using the character he had been developing during the last few years, "Pee-wee Herman". With the help of other Groundlings like John Paragon, Phil Hartman and Lynne Marie Stewart, Pee-wee acquired a small group of followers and Reubens took his show to The Roxy Theatre where "The Pee-wee Herman Show" ran for five sellout months, doing midnight shows for adults and weekly matinees for children, moving into the mainstream when HBO aired The Pee-wee Herman Show in 1981 as part of their series On Location. Reubens also appeared as Pee-wee in the 1980 film Cheech & Chong's Next Movie. Although it was Reubens in the role of Pee-Wee, the end credits of the movie billed him as Hamburger Dude. Reubens' act had mainly positive reactions and quickly acquired a group of fans, despite being described as "bizarre", and Reubens being described as "the weirdest comedian around". Pee-wee was both "corny" and "hip", "retrograde" and "avant-garde". When Pee-wee's fame started growing, Reubens started to move away from the spotlight, keeping his name under wraps and making all his public appearance and interviews in character while billing Pee-wee as playing himself; Reubens was trying to "get the public to think that that was a real person". Later on he would even prefer his parents be known only as Honey Herman and Herman Herman. In the early and mid-1980s, Reubens made several guest appearances on Late Night with David Letterman as Pee-wee Herman which gave Pee-wee an even bigger following. During the mid-1980s, Reubens traveled the United States with a whole new The Pee-wee Herman Show, playing notably at the Guthrie Theater in Minneapolis, Caroline's in New York City and, in 1984, in front of a full Carnegie Hall.

Who is Phil Hartman?
The Roxy Theatre