Comedy recordings fall under a number of different subject headings in the online catalog. Try doing a subject search on the following terms, then click on the "Limit & Sort Search" button and limit to material type "Spoken Word":
Wit and humor [see related subjects or try preceding these terms with a language, such as "French wit and humor"]
Prank telephone calls
If searching for a particular comedian's work, search his or her name as an author, last name first.