I've personally been to Caroline's Comedy Club, Comic Strip Live, and New York Comedy Club and all but NYCC were a good experience (trouble with an ex-girlfriend). Really though, it all depends on who is going to be there, for obvious reasons. Caroline's was the most spacious, the other two were damned fire hazards. Dane Cook was at Caroline's.
NYCC is nice, but Caroline's is the goods. A bit pricey for drinks (and there is a drink minimum), but they generally have great talent there, and the place is usually jumpin'. Oh, and their restaurant is surprisingly good-- check out the sea scallops if you eat there.
OKAY, forget standup. I went to the Upright Citizens Brigade theatre tonight and it rocked. Improv rocks! Everybody should go check this place out, they have a show just about every night. Best 5 bucks I ever spent. 3 buck beers too.