This sound is from Mitch Hedberg Soundboard

Mitchell Lee Hedberg was an American stand-up comedian known for his surreal humor and deadpan delivery. His comedy typically featured short, sometimes one-line jokes mixed with absurd elements and non sequiturs. His audience members sometimes shouted out the punchlines to his jokes before he could finish them.
See also: Los Enchiladas!, Mitch All Together, Do You Believe in Gosh?, Self-referential humor, Paraprosdokian, and Strategic Grill Locations.