Later, he was successful as a revue and nightclub comedian and master of ceremonies, arguably originating the form, and also appeared frequently on radio shows. He was cast in a bit part as master of ceremonies in the night club sequence of "Nothing Sacred" (1937). When talkies arrived, Warner Bros. studio was eager to put him under contract along with a host of other famous stage personalities. Fay was cast as master of ceremonies in Warner Bros.' most expensive production of 1929, the all-star, all-talking revue "The Show of Shows" (1929). Based on the success of that film, Fay was quickly signed up for an all-Technicolor musical comedy entitled "Under a Texas Moon" (1930), in which he also displayed his singing abilities. The movie was a boxoffice success and made a hit of the theme song, also titled "Under a Texas Moon". Fay sang the theme song several times throughout the picture. Another expensive picture, "Bright Lights" (1930), an extravagant all-Technicolor musical, quickly followed. Fay also starred in "The Matrimonial Bed" (1930), a Pre-Code comedy in which he sang the song "Fleur d'Amour" twice. Fay quickly found himself associated with musical films, and this led to a decline in his popularity when public interest in musical films began to wane in the late 1930s. In his next film, "God's Gift to Women" (1931), the musical sequences were cut for the American release, though they were retained for other countries. Fay failed to get the rave reviews he had previously enjoyed. He attempted to produce his own picture in 1932 and struck a deal with Warner Bros. to have them release his film, "A Fool's Advice". It failed, and resurfaced five years later as "Meet the Mayor", with new titles prepared by the Warner Bros. studio. These new credits reflect the low regard Fay's professional colleagues had for him: his name appears in the smallest possible type as both star and author, with the supporting cast members' names more than twice the size of Fay's. Fay's Broadway talent and early success in talkies with his pre-Code risque humor did not bode well with the rising conservative movement ushered in by the Great Depression. Fay played in a series of films in which he was cast as a debonair lover, irresistible to women, that frequently threw in suggestive jokes (e.g., on homosexuality and sex).