Have you ever been to Carolines on Broadway? It is a stand-up comedy located in Times Square
I have not, I also haven't heard of it.  Though I have heard of the laugh factory and the comedy store.
A lot of people have performed at Carolines like Louis C.K., Jerry Seinfield, Jay Leno and Chris Rock. The Laugh factory sounds entertataing
I've certainly heard of all those comedians.  Is the Caroline's a very famous comedy joint in New York?  Now that I think about it I've heard of the Cellar also.
It is one of the most famous, established stand up comedy clubs in the United States in Times Square in New york city