Hedberg was a frequent recreational drug user, mentioning it in some of his jokes (e.g., "I used to do drugs. I still do, but I used to, too"). He was interviewed by Jonathan Davis in the December 2001 issue of Penthouse. In the interview, published three years before his death, he was asked, "If you could choose, how would you end your life?" He replied, "First, I'd want to get famous, and then I'd overdose. If I overdosed at this stage in my career, I would be lucky if it made the back pages." In May 2003, he was arrested in Austin, Texas for heroin possession. On October 12, 2004, Hedberg sat in on the news with Robin Quivers on The Howard Stern Show. He appeared on the show again on March 17, 2005, and briefly discussed his drug use, saying, "Well, you know, I got the drugs under control now." Stern asked, "Do you? You know how to take them responsibly?" Hedberg replied, "Yeah, you know, just for the creative side of it."