The title of this post frames much of the resident existential angst of Woody Allen's films. In a sense, Allen is simply rephrasing Sarte's famous, "the only question that is left is, 'Why not suicide'?" Sarte, of course, did not believe that one could rationally use their freedom to take away their freedom, so he kept clear of nooses. Allen poses a similar question, but his solution is more modest.
Over the years Allen has referenced his work as a form of therapy. That is, it's a distraction from the abiding terror of demise and death. His workmanlike schedule brings him happiness and relative peace. If the production of a movie per year makes this point autobiographically, his screenplays often impose a slightly different proposal on the audience. The movies urge that we, the audience, look for truth in simple pleasures, honesty in humor, therapy in levity. Avoid Nietzsche, pursue Perelman.
In the closing moments of Stardust Memories, Sandy Bates (Allen) is confronted by the voice of a martian:
Sandy Bates: Shouldn't I stop making movies and do something that counts, like-like helping blind people or becoming a missionary or something?
Voice of Martian: Let me tell you, you're not the missionary type. You'd never last. And-and incidentally, you're also not Superman; you're a comedian. You want to do mankind a real service? Tell funnier jokes.
Some 23 years later Allen begins Anything Else on largely the same note. In that film's opening sequence, the sage older comedian David Dobel (Woody Allen) is coaching his promising understudy Jerry Faulk (Jason Biggs) about seeking truth in work and life. After telling Faulk a series of jokes, he comes to his point: there is more truth in one timely joke than in volumes of philosophical tomes. Incidentally, the characters and affairs of Anything Else are explained one old joke at a time. If you're looking for a window through which you can appreciate Anything Else, pay attention to the jokes. If Woody Allen is King Solomon, then old jokes are Lady Wisdom's proverbs.
The first frames of Anything Else are a recast of Annie Hall's opening sequence. There we find Alvy Singer (Allen) coming to terms with his lost relationship to Annie Hall (Diane Keaton) through a series of introspective jokes.
And then of course, there is this famous scene from Hannah and Her Sisters.