- 1985: Cameo appearance in Sesame Street Presents: Follow That Bird as a state trooper who arrests Sam Sleaze and Sid Sleaze.
- 1986: Appeared on Sesame Street in the guise of Yosh Shmenge, one of his characters from SCTV. On the show, Shmenge sells Oscar the Grouch a clarinet for his pet worm Slimey. Candy (as Shmenge) was included in the the celebrity version of "Put Down the Duckie".
- 1994: Appeared on Sesame Street's All-Star 25th Birthday special (archive footage only).
Candy's other credits include the Frank Oz directed film Little Shop of Horrors (as radio host Wink Wilkinson), The Blues Brothers, Home Alone, Planes, Trains and Automobiles (with Steve Martin), and Cool Runnings (with Doug E. Doug).