Where does he appear in GTA IV?  I'm 35 hours into the game, and maybe he hasn't made an appearance yet, but I don't have much left.  Did he lend his voice only, or did his likeness appear somewhere?

He's actually at the comedy club, I forget what it's called but it's in Algonquin. Sometimes it's Kat Williams doing a sketch and the other times it's Ricky Gervais. If you can't find it, it appears on the TV as well.

Comedy Club on the 3rd island.

He is on the radio aswell, he gets interviewed. Ricky's radio appearance is probably his funniest one in the game.

hes on the radio at some point 

The comedy club on the second island (I think you have to go 3 times to see him, although it might be random, I dunno). I think he's on the radio and TV too, but I haven't seen him on those.