My first live comedy show was David Allen Grier at the Improv in San Jose and I thought he was aces
. Does Wayne Brady's show Making Shit Up count? Joan Rivers, David Spade, Todd Glass, , Ian Bagg, Rita Rudner, and umm.. tons of locals at dive bars and the Improv here.
And I don't know if this counts either but Kids in the Hall did a show at the huge comedy festival that came to Vegas and I got to go to that.