Last year I saw Dave Attelle and Lewis Black, with Mitch Hedberg opening for them, and it was just a phenomenally funny show.
Like you, I haven't really gone to too many comedy shows, but I've been listening to a lot of Patton Oswalt, who I really like, and David Cross (pretty much anyone associated with Mr. Show is a solid standup). Recently I've thought about doing my own standup comedy act, but I've discovered that it's amazingly, amazingly hard. I spent about a week coming up with material, writing it down, refining it. By the time I was done, I had about 6 minutes worth of actual material. People that can go onstage and make people laugh for an hour or more just amaze me.