I saw them in a small theater, and Teller spoke a lot. But he was behind the curtain with a mic, acting as an announcer. (I could see him) Plus, when they invited the audience up to the stage to see Penn all contorted up in a barrel with swords, Teller collected quarters, saying "thank you, thank you very much" in a very much better than Ron carney fashion.
I saw them a while back on a beastly hot night (like it's been lately) and the air conditioning in the theater had broken down. During intermission they were both outside with bags of ice, handing out handfuls to anyone who wanted. Guess it was cooler than in their dressing room so why not but you really got the impression that they felt bad for the fans (and thankful that most of them stayed!)