You've got to get to the comedy cellar. Jesse Joyce plays there. In my opinion it's probably the best place in the world to see comedy.
Comedy Cellar
Christian, Jesse and Pat all play at Comic Strip Live.
NYC Comedy Club Comic Strip Live
Great line up but I find this place very expensive.
I saw Christian do a cool gig at The Pit. I can't remember the show though. Joe De Rosa was on the line up too.
ThePIT
Of course, Ray De Vito's show.
SacapuntasShow.com — One Comedian. One Storyteller. One TV Writer. One Celebrity Guest
Ex Friend of the show Liam McEnaeaney runs Tell Your Friends!
Myq Kaplan, Christian Finnegan and others.
http://tyfcomedy.tumblr.com/
Enjoy!