Why on earth have I never seen this television show??? Well, the fact that I haven't owned a television set since 1993 could have something to do with it... But at any rate, it's a really funny parody of both avant garde jazz as well as the annoying hosts on TV music shows. What's great about it is that it's even more funny if you are actually a jazz fan because you get all the little inside jokes they throw in.
After a bit of research on the Wikipedia, I've discovered that Jazz Club was a regular sketch on the BBC comedy show called The Fast Show. The format as well as the host were meant to parody the classic British music show, The Old Grey Whistle Test.