Favreau was born in Flushing, New York, the son of Madeleine, a schoolteacher who died of leukemia in 1978, and Charles Favreau, a special education teacher. His father was an Italian American Catholic and his mother was Jewish. He graduated from the Bronx High School of Science in 1984 and attended Queens College from 1984 to 1987, before dropping out. He briefly worked for Bear Stearns on Wall Street before returning to Queens College for a semester in early 1988. He dropped out of college for good (a few credits shy of completing his degree), and in the summer of 1988, moved to Chicago to pursue a career in comedy. He performed at several Chicago improvisational theaters, including the ImprovOlympic and the Improv Institute.