While working on "The Sopranos", Gandolfini appeared in more films. In 2001, he played Winston Baldry, a gay hitman, in the adventure comedy film "The Mexican". Gandolfini was recommended for the role by co-star Brad Pitt. For his performance, he won the Best Performance by an Actor in a Supporting Role at the 2002 Outfest Outie Awards in Los Angeles, California. Gandolfini also starred in the action drama film "The Last Castle" that same year. In 2006, he starred in the musical romance comedy film "Romance & Cigarettes". Director and friend John Turturro stated that he wanted Gandolfini to star in the film however he had to wait until "The Sopranos" stopped filming. He also appeared in a 2002 episode of "Sesame Street" and a 2004 episode of "Saturday Night Live", where he played a New Jersey resident commenting on the Jim McGreevey sex scandal.