- Henry Collins in Happy Hell Night (1992)
- One-eye Jimmy in The Search for One-eye Jimmy (1994)
- Rob in Glory Daze (1995)
- The Kid in Box of Moon Light (1996)
- Trent in Lawn Dogs (1997)
- Jerry in Jerry and Tom (1998)
- Francis Flute in A Midsummer's Night Dream (1999)
- "Wild Bill" Wharton in The Green Mile (1999)
- Guy Fleegman in Galaxy Ques (1999)
- Eric Knox in Charlie's Angels (2000)
- Jimmy Silk in Heist (2001)
- Chuck Barris in Confessions of a Dangerous Mind (2002)
- Frank Mercer in Matchstick Men (2003)
- Zaphod Beeblebrox in The Hitchhiker's Guide to the Galaxy (2005)
- The Bat-man in Robin's Big Date (2005)
- Charley Ford in The Assassination of Jesse James by the Coward Robert Ford (2007)
- James Reston, Jr. in Frost/Nixon (2008)
- Darwin in G-Force (2009)
- Doc in Cowboys & Aliens (2011)
- Billy Bickle in Seven Psychopaths (2012)
- Owen in The Way, Way Back (2013)
- John Moon in A Single Shot (2013)
- Eric Bowen in Poltergeist (2015)
- Jason Dixon in Three Billboards Outside Ebbing, Missouri (2017)
- "You’re a part of this bigger picture, and there’s a kind of archetype that you’re playing, but you want to make him original so you draw from different things. I watched Gene Hackman as Lex Luthor; Kevin Spacey as Lex Luthor; I watched George C. Scott in The Hustler; Vince Vaughn; Bill Murray in Kingpin; Peter Sellers in Lolita. A lot of those kinds of characters. I watched Amadeus. I watched F. Murray Abraham a little bit, and then real people like Bernie Madoff. Things like that."
- "I think that at the end of the day we're there to please them and make them happy, but they want you to do your thing. They want you to bring your originality to the role. What made Tony Stark so unique is that Robert Downey Jr. really brought his personality to the role in a way that I've never seen in a superhero movie with the protagonist. I don't know if I've ever seen that. He's as interesting as Han Solo is. You don't usually see that. It's usually the bad guy who's more interesting than the good guy, and in this case Tony Stark is just as interesting if not more interesting than the bad guy."
- "With Mickey Rourke? Just like I think Downey's so interesting that you have to step it up as this anti-hero protagonist, it's very similar to what Terrance Stamp and Gene Hackman did in the second Superman. It's that same dynamic. Or kind of like Peter Boyle and Gene Wilder in Young Frankenstein. That's the comedic dynamic there."
- "I had a lot of help. Jon Favreau and Justin Theroux helped me a lot specifically the day with the guns. They added some new guns, and I'd memorized a lot and had done a lot of research with the guns. So on the day they added the new ones, so I needed an earwig, and Justin Theroux the writer was prompting me. We're old friend, and we go way back doing theater in Williamstown. So he's very good at prompting me. So some of the adlibs are mine, and some are Justin's, and some are Favreau's coming in between takes and saying, 'Say this'. Between the three of us, we sort of pulled that scene together. I was flailing because of the new guns they'd added. It was going south, and it came down to either being an earwig or some cue cards, and I credit Justin Theroux for feeding me a lot of the adlibs and me being agile enough to do stuff on the fly with Favreau being able to coordinate in between takes and telling us how to adjust. I think we really pulled it together, and I am pretty quick on my feet, so I was able to adjust to the two very smart men who were telling me what to do. And poor Don Cheadle is sitting there listening to all this. It was interesting. It was quite a day. It worked out, but it was hectic."
- Sam is dating his Iron Man 2 co-star Leslie Bibb. They have been dating since 2007.