His more recent films have included Teaching Mrs. Tingle (1999); Mystery, Alaska (1999); Best in Show (2000) (in which he reunited with Christopher Guest); Little Nicky (2000); The Guru (2002); And Starring Pancho Villa as Himself (2003); and A Mighty Wind (2003) (in which the The Folksmen are played by the actors who play Spinal Tap).
In 2003, he appeared in the Christopher Guest comedy A Mighty Wind. He co-wrote several songs for the film, including A Mighty Wind (with Guest and Eugene Levy), which won the Grammy for "Best Song Written for a Motion Picture, Television or Other Visual Media" and A Kiss at the End of the Rainbow (with wife Annette O'Toole), which was nominated for the Academy Award for Best Song.