Mitch Hedburg is (was) a classic - was he the guy who used the opening line 'I used to do drugs. I still do, but I used to too'?
Theres shit-loads of classic comedians out there - Dave Chappelle, Jeff Green, Lee Mack (from the UK's sketch show), Adam Hills, Akhmal Saleh, Danny Bhoy, Stephen K. Amos etc. Most of them aren't American - they're either Australian or British, but they're funny as fuck. If you can get your hands on any of their material, then by all means watch it. I don't think theres any specific DVD's out there though.