To me, I think there are two subtly different ways of combining magic and comedy. On the one side, there are magical comedians like The Amazing Jonathan, who seem to have started in comedy and use magic for their act. If you go expecting amazing illusions, you'll be disappointed, because The Amazing Jonathan is there to make you laugh, first and foremost.
On the other side are comic magicians like Sylvester the Jester, who is clearly a magician first, but flavours his magic with over-the-top cartoonish comedy and sound effects. Sylvester the Jester performs for the magic, and comedy is just his gimmick.
For me, a fan of both magic and comedy, I think I prefer the magical comedian approach, in part because the comedy in a comic magician show feels too tacked-on. If you're aiming to make people laugh, that takes a certain type of performance, and the magic gets in the way of that.
Mokalus of Borg
PS - There's probably a way to lift both of the aspects up to a truly great magic comedy performance, but I've never seen it.
PPS - I've never actually seen a live magic stage show.