Norm McDonald is a good example, but most comedians are either leftists (which aren't funny and proof of that is in Late Night "Comedy") or are middle of the road, leaning right on economics and world issues. While most may not claim to be conservative, many of them are libertarian or right-leaning Liberals.
The whack-job leftist comedians like Bill Maher, Rosie O'Donnell, and Ellen are not funny and anyone who thinks they are are probably 95% far left. I know comedy is subjective, but there is such a thing as flop comics who get booed out of their career. Low ratings, horrible reviews and the like....