Stan: Say[,] listen, don't you think you're bounding over your step?
Policeman: What do you mean bounding over my step?
Ollie: Why, he means overstepping your bounds.
[hits Stan on head with his truncheon]
Policeman: Now let that be a lesson to you!
[pokes him in the stomach]
I couldn't figure out 'bounding over your step' without a little context. (-:
I don't think 'Say listen' is or was a phrase; I think it's two words that mean the same thing, used in succession (so there should be a comma). Either 'say' or 'listen' can be an interjection used at the beginning of a sentence to get someone's attention. Stan is just using both of them at once.Say, don't you think ...?
Listen, don't you think ...?
Say, listen, don't you think ...?