So then I said to the guy 'That's not my car, that's my wife!'

[The Unknown Guru]

Haven't seen anything live yet.

In no particular order:
Gabriel Iglesias
Dane Cook
Demetri Martin
Jerry Seinfeld
Jim Gaffigan

[Captain Maxx Power]

Al Murray
Bill Bailey
Eddie Izzard
Lee Evans
Richard Pyror
Eddie Murphy
Mitch Hedburg
George Carlin
Peter Kaye

There's probably a few I've seen that I don't know the name of that I've found funny also, like that big chinned bloke who does News Knight.

[El Bandito]

Demetri Martin live was absolutely amazing. Him and his guests had me in stitches the whole night.

[Iceglow]

I've seen Freddie Star, Joe Pasquale (sp?) and Jim Davidson live on various holidays.

DVD wise I've watched a whole load of them, best ones: Part Troll - Bill Bailey, Chris Rock is always good too.

[Rengori]

My list is way too long to name them all. Also, I can't even think of them all at once. However, I'm surprised no one has mentioned Daniel Tosh yet.

I know, that guy is hilarious. I've only seen his Comedy Central specials, but still he's smurfing hilarious.