On a recent Friday afternoon, a stubbled Bill Hader strolls up to the Coffee Bean on the Sony Studios lot in Culver City, California, already clutching a to-go coffee from earlier in the day. Looking like a mid-finals-week grad student in a purple zippered hoodie and jeans, he is deep into marathon editing and coloring sessions for his bleak hitman comedy, “Barry,” now in its second season on HBO. Somehow, this is the first purely sunny day in Los Angeles in a month, so Hader and I take advantage and sit outside. But before we get too settled, a fan spots and praises the conspicuously browed actor. “Oh, thank you, man,” Hader responds in his nasally rasp. After the fan retreats, Hader chuckles, realizing we’re sitting right next to to the studio’s tour route. We head inside.

Though he is understandably fatigued from the long days—Hader not only stars in “Barry,” but also serves as a writer, director, and executive producer for the show—the moment we begin to discuss music, he gets animated. Opening his phone’s music app, Hader scrolls through an eclectic collection of artists he’s considering to soundtrack “Barry”—jazz great Jimmy Smith, reggae star Marcia Griffiths, psychedelic funk band Khruangbin, and more. “I’m always on a quest to find everything,” he says. “It’s not a completist thing, it’s just that I get excited by it, and I want to learn as much as I can.”

His lifelong obsession with music is often on full display in his IFC series with Fred Armisen, “Documentary Now!,” which has satirized films including Talking Heads’ Stop Making Sense and the Eagles’ History of the Eagles. (Their faux-Eagles group, Blue Jean Committee, even released an EP in 2015.)

And some of Hader’s best, if not best known, characters on “Saturday Night Live” were music-related as well. In his final “SNL” sketch in 2013, Hader played a deadpan bassist in a pro-Margaret Thatcher version of the Sex Pistols that included Aimee Mann, Carrie Brownstein, Kim Gordon, J. Mascis, and real Sex Pistols guitarist Steve Jones. In a cartoony English accent, Hader joyfully recalls what Jones told him after that last sketch: “‘You sound like Sid Vicious—like shit!’” He adds that the experience was “the greatest moment of my life.”

Jones’ backhanded compliment is hardly Hader’s only watershed moment involving music, as I learn during our discussion about the albums that have shaped the perfectly normal and deeply unlikely pockets of the Oklahoma native’s personal history.