The other was when he was in Las Vegas last time, when Yucko the anti-semitic clown was on. Someone referred to Jimmy Kimmel as a Jew, and Kimmel responded: "For the record, I want to say I am a Roman Catholic." After which, very softly, and almost lost among the background noise, Stern said, "I want to say that for the record too."
One of Stern's funniest remarks I have heard, was when he said a couple years ago, "half of me is Jewish and the other half is anti-semitic." This is not proof of anything, except that there is another "half" from the one most people focus upon.
A friend of mine attended Mass at St Patrick's this last Christmas, actually a couple weeks before, and coincidentally sat next to Stern, who was with his daughter. When my friend expressed surprise at seeing him under those circumstances, Stern said he attended Mass regularly and was a practicing Catholic.
When I listen to Stern, I hear an unmistakable, underlying compassion, and a commitment to principles, which are not necessarily proof of religious conviction, but which are not inconsistent with it.