Brennan lived until the age of six in Villanova, Pennsylvania, a college town near Philadelphia, and lived from 1978 to 1986 in Wilmette, Illinois. He was born into an Irish Catholic family and is the youngest of 10 children. According to Brennan, his father's side of the family was funny, as were his five older brothers. Brennan said that he realized he was funny and liked comedy at about 8 or 9 years of age; he was already performing planned material for his classmates in a style that emulated comics Richard Lewis, Jerry Seinfeld, and David Brenner. He also watched a large amount of comedy on TV during his high school years, often staying up late to watch "Late Night with David Letterman" and "The Arsenio Hall Show".