Shecky Greene, born as Sheldon Greenfield, was a popular Las Vegas comedian during the 1950s and 1960s. Greene was so popular, in fact, he was included in the holosuite program Bashir 62, a 24th century rendition of 1962.
Unaware of who Shecky was, Odo, who was also in their company, inquired, "Shecky who?" which gave Melissa the impression that Odo had a sense of humor. Ginger then added how superb Odo also was at playing the piano, which combined with his sense of humor, made him something of their own Victor Borge. (DS9: "His Way")