I was visiting from out of town, and a friend suggested Comedy on State. Where I am from, we have a franchised comedy club with semi famous people. The comedy club is so much more than that! It is uniquely run in Madison, and they hold open mic nights for up and coming performers. When I went, I saw Greg Proops from Whose Line is it Anyway? They draw in some big names and thus draw out some big laughs from the crowd.
I also like that they sit you with strangers at the same table. It makes the experience more fun!