A lot of comics tell jokes about their old neighborhood. Yakov Smirnoff, a 33-year-old stand-up comic, is no different. Well, maybe he`s a little different. His old neighborhood was Russia.

Born and raised in Odessa in the Soviet Union, Smirnoff emigrated to America seven years ago. He knew little English but was certain he wanted to continue the career as a comedian he had begun in Russia. Today he is working comedy clubs across the United States--including Zanies in Chicago, where he is appearing through Sunday--telling jokes about life in the USSR and making observations about America with a kind of surface naivete that belies his perceptiveness and shrewdness.

Before he emigrated, Smirnoff worked craft-union shows and cruise ships on the Black Sea, among other places. On the cruise ships he encountered passengers from capitalist countries and got his first close-up glimpse of another way of life. Eventually, he and his parents applied for an exit visa from Russia, and after a two-year wait they found themselves in the United States.

Smirnoff enrolled in a bartender school here and became a bartender at Grossinger`s resort in the Catskills, where he polished his English and studied the techniques of comedy acts that appeared there. After a while, he began doing his own act at New York clubs, entertained on cruise ships out of Florida, then moved to Los Angeles, where he lives today.

He has done TV guest shots on ''Scarecrow and Mrs. King'' and ''Night Court.'' He had a bit part in the film ''Moscow on the Hudson'' and a role in ''Buckaroo Banzai,'' and he will appear in ''Brewster`s Millions,'' the new Richard Pryor movie set for a May release.

In conversation, he retains a bit of an accent while talking about Russia, America and the business of getting laughs from both socialists and capitalists:

Will ''Brewster`s Millions'' be the first film in which you have a feature role?

''Well, I had a pretty large part in `Buckaroo Banzai,` '' says Smirnoff. ''I was the national security adviser for the President of the United States. But the movie passed so fast. It was in the theaters for about an hour and a half. So I guess `Brewster` is going to be my first feature.

''I`m playing a Russian. Surprise. A Russian cab driver who used to be a comedian in Russia. No typecasting there. Richard Pryor, who is Brewster, hires me to be his chauffeur, and I`m part of an entourage of five people who are with him all the time.

''The plot is that he has to spend $30 million in 30 days to inherit $300 million. It`s an American movie.

''Richard Pryor is one of my idols. I remember when I came to America. I didn`t speak English well, but I used to go and see his movies. I admired him as a comedian. I also admired him as a son because with every other word he kept mentioning his mother. I thought, `Well, how nice.` Then I realized it was a different kind of mom.''

You began doing comedy at the age of 15 in Odessa. Where does one start doing comedy in Russia? In clubs?

''In jail. I`m kidding. Clubs, yes. There are a variety of clubs that are sponsored by different unions. Steelworkers, let`s say, have their club. My father was a building construction engineer, so he belonged to a building club. They would encourage their children to go and show their talents, so I went to one of those clubs. I sang, and I got a lot of laughs. So I figured I`d switch to comedy.''

What kind of jokes would you do in Russia?

''It was old jokes, more vaudeville type of humor. More like English-style comedy. Or like Henny Youngman. One-liners or stories that have been told over and over again but they`re still funny. No improvisation comedy. You don`t improvise. You don`t tell stories about yourself the way American comics do.

''I would do some original material, but that would be unusual. Also, it was OK for comedians to borrow--if one of the big comedians went on television and did a monolog, next day 10 or 20 other comedians would do the same thing in clubs. That wasn`t considered stealing.''

Can you give an example of the kind of joke you were telling?

''Sure. Jokes about mothers-in-law would be popular. A funeral procession is going by, and they`re walking a goat behind the coffin. A guy comes over and says, `Why are you walking a goat behind the coffin?` The other guy says, `This goat killed my mother-in-law.` The first guy says, `Can I borrow this goat for a week?` The second guy says, `You see all these people in the procession? They`re all waiting. Get in line.` ''

Did you have to submit your material to a censor?

''Yep. There`s a Department of Jokes. Actually, the Ministry of Culture has a very big department of humor. I`m serious now. Once a year they censor your material, and then you have to stay with what they have approved. You can`t improvise or do anything like that. You write out your material and mail it to them, and they send it back to you with corrections. After that, you stay with it for a year.''

Do they permit jokes that poke fun at America?

''Mild jokes. They don`t want a controversial subject. They`d rather stay with something that is safe, that has been heard many times, but is still making people laugh.''

Is there a difference between Russian and American senses of humor? Do we laugh at different things?

''No. I think a sense of humor is probably the most international language there is. It`s just that subjects you`d laugh about are different. Otherwise, it`s the same. Timing is the same. If I start making jokes about a shortage of toilet paper in America, it won`t make any sense because you walk into a store and see 15 brand names of toilet paper. One you squeeze. One matches your curtains. In Russia, they explain very simply the shortage of toilet paper. They say, `You don`t have food; you don`t need toilet paper.` '' You entertained the troops while you were in the Soviet army, didn`t you? ''Right. After the army course for beginners, when you learn how to shoot and crawl, comedy became some source of me not being in that front line. Which was a wonderful feeling because I could still make people laugh and I could travel around the country. Yeah, it worked real nice for me.''

After the army, you worked on cruise ships in the Black Sea and personally encountered capitalism for the first time?

''Right. Which was what made me realize how much I was missing. In the Soviet Union everybody supposedly gets the same thing, no matter how talented you are. What I found out on the cruise ships was that here, if you`re better, you get more. If you`re not better, you`re not gonna get more. And I liked that because I am a hard-working person. I work for what I get.''

Did you suffer any reprisals as a result of applying for an exit visa?

''Oh, sure. They fire you from work. They investigate you. They turn people against you. It`s almost as bad as being on `60 Minutes.` Well, not that bad.''