I researched this topic before I was aware of this group - I wanted to find out if anyone knew about the Benny show connection. I found a lot of sources quoting Rodney as having said that the name was suggested to him by a club owner in the Catskiils. He apparently had no idea it wasn't original with the club owner.
However, Johhny Carson told him the origin if the name. See Carson's Rolling Stone interview, which is quoted on this page:
http://anythingbut.com/archive/cat_people.html
It's down the page, and the stuff about Rodney is way down there, so you have to search for "Rodney Dangerfield" a couple of times to find it. Carson says:
[quote]
I knew Rodney when he worked under another name, Jack Roy. Fifteen or twenty years ago. He worked the mountains, the clubs, then he stepped out of the business for a while. I think one of his lines -- goes to show you how successful he was -- was that when he retired he was the only one who knew he had retired. And I asked him one night, "Do you know where you got the name Rodney Dangerfield?" He says, "No I don't." And I told him where the name came from.
I remembered a sketch that Jack Benny did some twenty years ago on his show, and here, I said, is the way the name Rodney Dangerfield came about. Jack and Mary Benny were holding a party. And Jack came into the room and said: "Mary, who's coming to the party tonight?" They had a big guest list. And. Mary said, "Well, Jack, the Gary Coopers can't make it, Gary is making a picture." And jack said, "Aww, they can't make it?!" And then she said, "The Ronald Colmans are busy, Ronnie was busy tonight." And Jack would go, "Ohhh, they can't make it?!" Then she said, "Jack, the Jimmy Stewarts also are not able to come tonight." "Well, who has accepted?" he asked. Mary said, "So far, we have Rodney Dangerfield." And there was a scream. The audience loved it.
[end quote]
Of course, Carson's memory is only partial (he didn't have a colleciton of mp3 shows to listen to). In fact the Benny show used RD many times and had him appear as a voiced character at least once. They also made it clear that RD was a grade-Z western hero.