A friend of mine headlines the LVH Thursday through Sunday at the Shimmer Cabaret and he's always got great comedians opening for him. Doors open at 10pm. The LA Comedy Club above Cabo Wabo at PH has good acts as does Big Al's at the Orleans. Louie Anderson is hilarious and he's at Palace Station. I know there's a few others that I can't think of right now. If I remember them I'll add to this post. Hope that helps!
-Brett