We went to Sin City Comedy on our first night in Vegas. We made it to the show right when it was supposed to start (got very lost in Paris), but they started late so we actually still got in. They have a bar right outside, and if you're in VIP you get drink service as well. The show is 18 yrs+ and they don't card at the bar. You heard me right. Even the lady we bought tickets from told us they didnt card so we could just go get drinks. Ah, fond memories of my last illegal beverage....
Anyway, the MC the night we went was pretty funny, did some really good impressions. The second comedian was HILARIOUS, and the third was alright. There is a burlesque dancer that performs between acts to keep the crowd entertained, and I thought she was pretty good. Had pretty good routines and didn't look like an amateur.
I would definately reccomend this as a good show to see. It's only about $50, which is a lot cheaper than most shows. The only downside is that you don't know who is performing until you get there.