I have seen some of my favorite comedians at this spot. Awful location, but decent food. Great, great acts come through this spot. It's upstairs in some weird strip mall you'd expect to find a grocery store next to it.
I like the comedy club in downtown Phoenix better. The one in Scottsdale is just awful. Would not recommend it unless you're crazy about the comic.
Have fun; one of the many stars that come through are bound to make you laugh!