From Humphrey Carpenter's biography.
A great fan of the Marx Brothers movies, throughout his life Tolkien was playful, liked pranks, costumes and incongruous comedy. "I have a very simple sense of humor," he wrote, "which even my appreciative critics find tiresome." Long after his high-spirited performances at King Edward's and the town-gown rowdiness of his Oxford days, when he was a don at Oxford Tolkien was known to "dress up as an Anglo-Saxon warrior complete with axe and chase an astonished neighbor." He and C.S. Lewis once went to a New Year's Eve party, which was not a costume party, as polar bears, Tolkien wearing an Icelandic sheepskin hearth rug and his face painted white. In the middle of an academic lecture he might take out a four-inch green shoe from out of his pocket as proof that leprechauns exist, and in old age he might had a store clerk his false teeth with the coins.
I'm thinking that though humorous, that astonished neighbor story is a bit concerning.