I've seen Bill Cosby a few times. He is without a doubt my favorite comedian of all time. I've also enjoyed George Carlin (2nd favorite) and Richard Jeni in concert. I defy anyone not to have tears the first time they hear Richard Jeni tell his "stages of drunk" story...
I saw Robin Williams at an industry function when Aladdin first came out on video. I was.....underwhelmed. I respect what he does, but on stage he just seems to be a mental patient on speed. I found myself more laughing at him, than with his stories.