Old Harry's Game is a UK radio comedy written and directed by Andy Hamilton, who also plays the cynical, world-weary (or rather, underworld-weary) Satan. "Old Harry" is one of many names for the devil.
(that's the Ctrl-C/Ctrl-V from Wikipedia done!)
I discovered at #QEDCon that a lot of people hadn't even heard of this mid 90s work of comedy genius so I've taken the time to upload a total of 36 episodes which are now available as a YouTube playlist :)
Old Harry's Game by Andy Hamilton. BBC Radio Four comedy playlist.