Admittedly, the first time I read his short work "My Speech to the Graduates", some of the things in it didn't connect with me as they do now--even though I still found it amusing the first time I read it. So I have an understanding of what you mean when you write that some of Mr. Allen's ideas fly over the heads of some readers, as my earlier readings were a prime example of this! For instance, when in that work, he makes reference to the philosophy of language (how the "human predicament" can be resolved to a neat little formula, in case we need a handy guide or reference in those hard-times, I guess) I didn't get the full meaning of the reference when I had first read it. However, that didn't stop it from being amusing, i.e., the thought of existential despair being solved by a linguistic formula ready for carrying around in the pocket!

And of course, "My Apology" was pretty good as well. You have to laugh when he drops lines such as philosophy being impractical out of philosophy classes. Of course line such as this are also great:

Allen: "Don't misunderstand me. I'm all for truth. On the other hand I have a lunch date in Sparta next week and I'd hate to miss it. It's my turn to buy. You know those Spartans, they fight so easily."

I'll have to read "The Whore of Mensa". It sounds like another work of his that I would enjoy reading. Personally, I think I could enjoy Woody Allen the writer even if I didn't know of Woody Allen the director/actor. His writings are of such a quality that they constitute ready-made "realities" in and of themselves. I don't find that too often in some writer's works. Nevertheless, his writing can be neatly placed along side his movies, not as mere supplements to them, but as realizations of his ideas in a different medium. And how he pulls off this task (with results ranging from the perplexing to the hysterical) is always worthy of further thought and engagement, I'd say.