The Comedy Warehouse is like stand up improv comedy. When I went Friday night there were 5 (I think) comedians on the stage who put on the show, with some interaction from the audience.
The Adventurers Club is tougher to explain. Ive heard it explained before myself and didnt really get it, until I went. Here there are performers are in character. They mingle in the main room and interact with the guests there. At certain times, certain characters will break off into different rooms and continue their show in there. You can go into any room you want for a show when it starts.
I thought the Comedy Warehouse was funny, but I was in the minority in our group. The Adventurers Club on the other hand was hysterical! We had a great time there. Be sure to try the Kungaloosh.