Although I don’t lean that way, there are still conservative comedians / humorists that have yet to be mentioned:
Tim Wilson (his Wikipedia page says he’s libertarian, but his humor is solidly conservative)
Ray Stevens - All his stuff since at least 1990 is very political, and VERY conservative.
I have no opinion as to whether their stuff is funny.
His politics rarely makes it into his material, but Mike Nelson, former head writer and host of Mystery Science Theater 3000, is a conservative:
Q54 (Forrest): Believe it or not, there have actually been discussions on our discussion board about whether or not you are independent, republican or democrat. Paul Chaplin and Kevin Murphy have often shared their political views with the world. So what are yours? Are you an elephant, a donkey, or neither?
A54: Well, let me say this, I read the National Review cover to cover. Check in at Townhall.com every day. Check the Washington Times daily. Listen to Dennis Prager and Michael Medved on a regular basis. Read Mark Steyn with regularity. Read the Weekly Standard. So, yes, I do vote Republican. As the pundit Hugh Hewitt has observed, there are indeed two Americas: Serious America and Silly America. The Democrats seem bent on turning this into Silly America, so I stick with those who wish this to remain Serious America.
Of course, in addition, as angry as it makes me, I check in with the monolithic press: the NY Times, the L.A. Times, the Boston Globe. One thing I can’t do, that makes me just insanely angry, is read my local paper, the Minneapolis Star Tribune, known to many as the Star and Sickle, or the Red Star Tribune.
Of course, this interview is years old, maybe pre-9/11, and who knows, maybe he’s pulled a reverse Dennis Miller and gone liberal. But I kinda doubt it.