Hi going to the comedy club is one of the highlights of my WDW trips. My advice is go to one of the early showings and then when you find out how much you love it, you can go to another one or two during the same evening.
A word of warning - if you are likely to die of embarrasment if you get put on the spot - DO NOT sit next to one of the telephones that can be found on the walls!
If you want to be able to be one of the stars of the evening, cast your mind back for an embarrasing story (about yourself) that you can share (they always ask if anyone has one that they would like to share), or sit by the telephone.
I went armed with an embarrasing story during our last visit and... well I just wish I could remember more of the song they sang about it!
I don't think that they adventurers club is a patch on the comedy club. We have only been into the 80's Trax (I think that's what it's called) dance club, but we never stay because it's always to crowded for me to cope with.