It's weird b/c I used to listen to comedy albums all the time but now since everyone has podcasts or live recordings on Netflix or Amazon Instant Video, etc - I'm not sure I've bought a comedy album lately.
I would back up the Dana Gould Funhouse suggestion from Master of Sparks (? Was that you?)- He's also got Let me Put My Thoughts Into You as a CD and I think it's still streaming ... he's just started a podcast also. He's one of my all time favorites.
I also think Galafanakis's Live at the Purple Onion is probably the best "capture" of what his live performance was all about - who knows if he goes back to stand up at any point in the future - this is always out there. I think it's streaming on at least one of the services.
Other random ones I can think of:
Bruce McCulloch - Shame Based Man. Not really live stand up, songs and pieces. If you liked his characters on KITH this will probably make total sense to you.
Goldthwait - I Dont Mean to Insult You... If you heard that interview on WTF several months ago and liked that you'd probably like this. He's totally in this "Here's my shit, here's where I'm at now, don't really care if you don't get it" place with his movies and his whole thing lately, and it's pretty great.
How about older ones, anyone?
Woody Allen -- Standup? Pretty amazing, even if you can barely tolerate his movies now. Boy did that Paris one stink.
Cheech & Chong -- hearing Earache My Eye on last week's show made me think of a bunch of those old records, same thing with:
Nat Lamp - I think i'd probably want to find a best of complilation b/c I'd bet I couldn't take some of the bits anymore, but some of them I still remember probably word for word!