Jack Benny
The Jack Benny Program is a classic comedy that is truly one of the best-loved programs from the Golden Age of Radio. It started life as The Canada Dry Program in 1932 on the Blue Network and finished off as The Lucky Strike Program on CBS in 1955. In between, it kept the audience in stitches and established Benny as one of America's all-time great comedians.
But the vain miser that came over the airwaves each week was nothing like the real Jack Benny. As John Dunning relates in The Encyclopedia of Old-Time Radio:
Benny was remarkable in many ways, but in none more than this: he built a character of every sour ingredient in life, but somehow his real personality trickled through and made it wonderful. Would a real miser act that way before 30 million people each week? The Benny of the air was a fraud, a myth, a creation. It should have surprised no one to learn — after years of toupee jokes that played so well into the vanity theme — that Benny never wore one. He overtipped in restaurants, gave away his time in countless benefit performances, and was lavish in his praise of almost everyone else. "Where would I be today without my writers, without Rochester, Mary Livingstone, Phil Harris, and Don Wilson?" he asked a reporter from Newsweek reporter in 1947. The reporter supplied his own answer, since Benny wasn't about to. "That he himself has handpicked the writers and cast is something that Benny never admits. He dismisses lightly the fact that he directs his own rehearsals, down to the last fine reading of a line. Nor will he ever say that part of his success stems from his own sense of timing and showmanship."
You can find more episodes in the Ear Benders section.
Here is a sample of the online episodes currently available at The Old Time Radio Fan:

Mary Tells Jack Empire State Building Visit
1945-01-21 (6.51 MB) [28:26]

Fred Allen Asks Jack to Appear on His Program
1946-05-19 (6.69 MB) [29:13]
Jack Fixes A Phonograph
1947-04-13 (6.77 MB) [29:35]
From Palm Springs, California
1948-04-11 (6.4 MB) [27:57]
Charlie's Aunt
1948-04-25 (6.56 MB) [28:39]
Guest Show
1948-05-02 (6.78 MB) [29:38]
The Egg And I
1948-05-23 (6.93 MB) [30:18]
From New York
1948-06-27 (6.45 MB) [28:12]
Jack Returns
1948-10-03 (6.41 MB) [28:01]
Jack And The Gang Listen To The World Series
1948-10-10 (6.64 MB) [29:00]

How Jack And The Gang Spent Thanksgiving
1948-11-28 (6.61 MB) [28:53]