I think if you like something (rock music, sketch comedy, eggs), it's a pretty good idea to understand where it came from (blues, theater, chickens). A couple of days ago, someone recommended the comedy of Nichols and May to me, and in searching for samples, I found an online archive of the public radio show Comedy College. Holy crap. Each half-hour episode, hosted by famous comedians such as Steve Martin and Lily Tomlin, features the material and story of a different classic comedian. It's fantastic. Take a listen.
UPDATE: Shortly after I posted this, Comedy College let the registration run out for the site that holds their audio files. Hah. Hopefully that'll be back soon.