It was a 1972 Jerry Lewis film, his first attempt at drama, called "The Day the Clown Cried". In it Lewis (who also directed and financed it) plays a German clown named Helmut Doork who is sent to Auschwitz and entertains children as they are sent to gas chambers.
Thanks! I've heard Howard Stern talk about this movie before, but I've never caught the name. I've got to check it out.