Joe Pesci is one of my favorites, i love his little outbursts and the language he uses at those moments. Even in the movies where it's not supposed to be funny, like Casino and Goodfellas. It's just a funny sight, a guy who's not much bigger than the gun he holds in his hand, cursing out everyone around him.
Eddie Murphy used to be my favorite, but he seems to have lost his touch. I don't think he's funny anymore, his movies all flop. He was hilarious in the old days, with Delirious, Raw, Saturdaynight Live, and Trading Places, but those days are long gone. I like "insulting" sarcastic humor, and he used to be like that once, but not anymore. He became a bit cheesy.
My favorite female comedian is Joanna Lumley in Absolutely Fabulous.