Funny that, we're having a comedian competition on the football forum I frequent, so I'm kinda more informed now :P.
My favorite is Russell Peters, probably because those non-shallow race-related jokes really speak to me. I quite like Louis CK, Eddie Murphy, Bill Cosby and many others too. Outside of stand-up, my favorites are Monty Python. I think their humor is so great in that they're not so punch-line focused. It's stream of consciousness silliness, with hilarity moment after moment.