Robin Williams' live shows rock. You just can't help but enter his stream-of-consciousness style and appreciate it for all it's worth.
Live I have found Richard Jennings to be superb, but I have not seen too many live acts.
I will always love Bill Cosby "Himself," Eddie Murphy's "Delerious" and "Raw," and Andrew Dice Clay's HBO special (though his schtick is limited).
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