Take his fiancée of more than two years, for instance. "If Brad Pitt gets Kristen Bell, it's like, 'Well, of course he did,' " says Shepard, 37.
"With me, it should be, 'Oh good, a normal-looking guy got her. Maybe I'll get me a Kristen Bell.' But guys hate my guts for always dating women I have no right to be with."
Speaking to Playboy for its October issue, the funnyman answers 20 questions that express his views on everything from his relationships with women such as Bell and Kate Hudson – to which he attributes his "being funny and a good dancer" – to his bromance with Burt Reynolds ("I love that man").
Regarding Bell, 32, he says: "Kristen's a good girl. She grew up very Christian, went straight to college, did great in school and started work immediately. She's charitable and philanthropic and rescues dogs."
As a result, he says, "All the things I'd done were terrifying to her, and she had a hard time believing I would ever be able to stay married and monogamous and a father and all those things."
Yes, he says, they did clash: "For the first year and a half we were together that was what we battled over almost weekly."
Pressed on just how wild he was in his past, Shepard says, "Mostly my love was Jack Daniel's and cocaine. I was famous for going out on Thursday night to have a couple of beers, and that just led all the way to Saturday night. I would meet people here and there, and then I'd be in a hotel room with four strangers. ... I lived for going down the rabbit hole of meeting weird people. Of course, come Monday I would be tallying up all the different situations, and each one was progressively more dangerous. I got lucky in that I didn't go to jail."
And now? "I think I have a pretty good handle on my 'isms,' but it takes a long time. Each third or fourth bad thing you give up, you still have to hold on to one. I'm still on nicotine. I still drink gallons of coffee. I'm still super into driving too fast on motorcycles," he says.
"When you're going that fast, you're thinking only about what you're doing in the moment," he says. "It's the closest I could ever get to Deepak or God or something like that."