Located in the "Cobblestone District" Helium Comedy Club sits at 30 Mississippi St. A few weeks ago I was lucky enough to catch the Garfunkel and Oates Show. To be honest, up until that night I didn't really know what to expect, and didn't have any expectations. I was thinking it would be a regular comedy show, but to my surprise I was quite impressed with the venue and with the show. Kate and Riki (who is originally from Olean, NY) are two of the funniest gals in the business. It was a packed house and they kept the crowd laughing the whole night. Included with the show was a host and opening act, Sean Murphy, who both were very good as well.
The only downside of the night were the tables you sit at, they are way to small for a group of 4 or more. If ordering food, plan on having your plate on your lap. For a group of 3 or less there perfect though.
If your looking to do something other than just the usual "dinner and drinks" think of checking out a show at Helium. Wednesday nights are open mic nights. Tickets are reasonably priced (avg. $25 per person) and if you catch a show on a non-eventful day at the First Niagara Center, there's lots of free parking in the area. You can expect to have a night full of laughs.