 Blitz was born in New York City and grew up in Ridgewood, New Jersey, where he attended Ridgewood High School, graduating as part of the class of 1989.He graduated from Columbia University in 1994.By 1999 he had established himself as a fixture of New York City's stand-up comedy scene, performing regularly at the now-defunct Luna Lounge; in that same year he began his work on "Late Night".