If you are ever in the Fort Worth area, I highly suggest you try the Four Day Weekend Comedy Club. I have only attended the 10:00 shows which are for 18 years and older audiences, but they also have an earlier show for the family with younger kids.
We went to one in St. Louis in 2007, and it was pretty poor. I don't remember the name, but it was upstairs in a large mall near the Scottrade Center. There might be some good ones in that town, but I'd stay away from any that perform upstairs in malls.
How about other towns? Any suggetions? Any warnings?