I simply LOVE my local comedy club.
Its called "Jr's Last Laugh" and we get a number of large name comedians. I've been there A good 12 times in the last 2 years, and literally got front row seating a good 8-9 of them times. Seating is random might I add.
There has only been two occasions where I was thinking this is a waste of my money:
1) Victoria Jackson - WORST I've ever sat through. She almost got boo'd.
2) Some no-name locals that will never play there again.
Otherwise, it has been some of the best experiences I've paid for legally.
Mike Green and Lewis Black are my top two performers for favoritism. But otherwise you can sure bet it will be a good time. That is with or without alcohol.
Shit I even spent a portion of my 21st birthday there, even got front row seating too!
As for getting picked on, while yes it somtimes seems like its going to far. You simply need a HUGE sense of humor if you are about to sit anywhere near the front, if you are in anyway sensitive, ask to sit elsewhere.
People go there to laugh, and that will include at others expense.
I have been picked upon 3 different times while there for the butt of a joke. One was even on my 21st bday, but I laughed no matter how rude the shit was cuz I knew the guy is only trying to make others laugh. Being picked on wont kill you, or even minorly hurt you, everyone there will forget about you withing 10 minutes.