I'll be the first to say that comedy clubs are a risky business, but with the right business model, it could work.
Let's Start With The Evidence Of Why This Would Work
I lost count sometime after we did our 25th standing room only Lubbock Laugh Off at World Of Beer. We had to physically turn people away when we did the Lubbock Laugh Off at The Freaky Tiki. Right now, Two Doc Brewery is having amazing turnouts for comedy. The open mics wax and wane, but are usually packed out. Major comedians have shown that they will visit Lubbock, and the regionals need places to play as well.
The Problem With Comedy Clubs
How do you make money on a place that only has entertainment for a couple of hours? Some comedy clubs have overcome this by doing two shows nightly, or by having drink minimums. I think the answer lies in having a strong bar and/or kitchen attached. You have to be able to make some money outside of the comedy. The problem right now is that comedy is an afterthought for many places and they are not set up properly in terms of p.a. or seating (and those are relatively minor things).
It's About Placing More Value On Comedians
In order to keep something like this sustainable, regional acts have to be introduced and for that, we need to get people used to the idea of paying for comedy. A quick glance at a live music venue's offerings shows smaller regional acts getting $10-$25 a ticket. You could half that and make comedians happy. Most here perform for nothing, or on the bigger shows get just enough to put back into advertising for those shows.
The Shows Are Already There
Right now there are already comedy events pretty much every Wednesday through Saturday (it fluctuates a bit, but it's a lot closer to the rule than the exception). Imagine if all of those events were at one place where comedians and their fans also hung out during the off hours.
Putting It All Together
I believe I just talked myself into opening a comedy club...except I already have too much on my plate to open a comedy club. Let me just say that there may be an opportunity out there if the right person is out there.