I've seen quite a few comedians including Billy Connolly, Paul Merton, Jack Dee, Eddie Izzard, Rich Hall, Frankie Boyle.
Rich Hall is superb, doing a lot of improvisation and making up songs on the spot.
Billy Connolly was the only disappointing comedian I've seen. It was during the time of his "World Tour of Australia" series, which had been on the week before I went to see him, and sadly most of his jokes were straight off the TV series. I have never been sure about him since his Ken Bigley "joke" anyway.
Eddie Izzard at the Capitol was probably the best I've seen. The man's a genius.