Is a stand up comedy club an appropriate venue for a Orthodox Jew, even not during the three weeks?
It is a clear prohibition of Moshav Leitzim (a gathering of scoffers/ session of scorners),
Mishneh Berurah 307:59 (Translation from the Feldheim Edition)
“Because of the prohibition against participation in a gathering of scoffers.” One certainly transgress this prohibition if he goes to theaters and circuses [which are places of amusement [שְׂחוֹק] as stated in Avodah Zarah, 18b] or participates in other pastimes. Even on Purim, only merriment that is intended to remind one of the miracles that occurred in the time of Achashveirosh is permitted [M.A.] Nowadays, because of our many sins, some people are completely unrestrained in this matter and go to theaters, despite the fact that Scripture cries out saying, “do not rejoice, Israel, in jubilations.” (Hosheya 9:1) One also transgresses the prohibition against inciting one’s evil inclination if he goes there, and our Sages of blessed memory said, “Whoever scoffs, falls into Geyhinnom, as it is written, etc., and suffers afflictions even in this world, as it is written, ‘and now, do not scoff, lest your afflictions become heavier.”
We also see the Chayei Adam Hilchos T’fillah u’Brachos 63:17
“The Bach wrote in the name of Sefer HaEshkol [to guard yourself from seeing?] hunts of the gentiles, and this is the ruling for their dances or any type of their celebrations. And if you hear the sound of gentile feasting or rejoicing, lament and grieve over the destruction of Jerusalem, and pray to the Holy One blessed be He about this. And about this it is said, “Do not rejoice, Israel, like the exultations of the peoples.” [Hosea 9:1, adapted from Stone Edition Tanach]. Additionally there is with all of this [a prohibition of participating in a] “gathering of scoffers”, and even if it is [held by] Jews. And Chazal said in tractate Avodah Zarah (18a) “Rabbi Shimon ben Pazi expounded, ‘Happy is the man who does not walk in the counsel of the wicked’ (T’hillim 1:1) this is one who walks to theaters and to circuses (Rashi explains, ‘a palace, and anything when they gather to laugh and scoff.’) ‘And in the path of sinners he does not stand’ (ibid), this is one who doesn’t stand in hunts (Rashi explains, ‘trapping wild animals by means of dogs and any action of their done for laughter or rejoicing.’) ‘And in a gathering of scoffers he does not sit.’ (ibid) he does not sit in their councils.”
Similarly the Aruch HaShulchan 307:9
“And this is the ruling for one who goes to theaters and circuses which are places of amusement and pastime.”
I don't see why a stand up comedy club is any more an inappropriate venue qua stand up comedy club than Purim shticks or other aspects of Comedy and Jewish Life.
However there may be other concerns on a case by case basis such as wasted time, inappropriate dress and/or content, and non-Jew's alcohol. As usual, make your decisions wisely.