My old faves are Sam Kinnison, Andrew Dice Clay -- only because I saw both of them live and they were absolutely hilarious, despite pissing me off in the process.
Milton Berle, Marx Bros., Bob Hope, Don Rickles, Conan O'Brien, Jon Stewart, Chris Elliot. Lots more, but I can't think of them. I love political satirists.
*Recommendation: I Might Need Security Jaime Fox, 2002- Hilarious, had me *literally* rolling on the floor laughing -- my sides hurt and eyes watered. On video, dvd