I don't usually laugh at women comedians, because--while most of the male comedians are either retarded, do impressions, or do retarded impressions--the women just bitch about their period or having to put up with bad sex.
Just watch any footage from the Just For Laughs comedy festival in Montreal (there's a weekly show on CBC, but I doubt you Americans who live far from the border would get that.).
Some women are really funny, though.