Crazy Harry is like the exclamation point of the Muppet characters...not used often, but when used it's for major emphasis.
Crazy Harry did speak in the Muppet Movie. In the Magic Store finale, he cackles and says, "Crazy Harry play with electricity!" before pulling some voltage levers to dangerous levels. A bit of character development perhaps, since on the Muppet Show he only ever caused explosions and not high-voltage shocks. Honestly (and oddly enough) he's one of my favorite Muppets. The original 70's puppet design was appealing to me, and Jerry Nelson really made the most of a one-note character. Plus the Series 2 Palisades action figure was one of the first I owned, so Harry holds a special place in my heart.