Eddie Izzard: Live from Wembley is the exact same set he performed in the SEXIE standup special. Not sure why it's re-released as a separate standup special a few years later under a different name, other than to confuse people and get them to pay for the same content twice. There are certain minor variations between the two, as is the nature of any professional comedian riffing on their material with the audience, but there's nothing standout different worth watching them both. So pick one or the other, but don't feel the need to watch both except for the extreme completists out there among you.
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