Taking stand-up comedy and improv classes. In LA, the big names are Groundlings & ACME, in Chicago there's Second City. You're from NY, so you want to find out the top training schools/classes. Do your research on NY comedians to see where they trained. Google them or check them out on Wikipedia or IMDB.
Stand up is part talent and part craft. You may have the talent to make people laugh, and you want to develop the craft of designing comedy sets for yourself. Or you may not have the talent to make people laugh, but don't let that discourage you. Comedy has a lot to do with timing, rhythm, and writing. All of those are skills which can be developed.
The second thing you should do is go to as many comedy shows as you can and watch from the perspective of:
1. How is the comedian creating rapport with the audience (or if he/she is not, why not?)
2. Which jokes are working and why?
3. Listen for "the music" in the delivery. Each comedian has his/her own style/tempo/music in delivery.
4. Break down the jokes. Some comedians tell quick one-liners. Some tell stories.
The third task I would recommend is study the masters like George Carlin, Richard Pryor, Whoopie Goldberg, Billy Crystal, Robin Williams. And then compare them to the contemporary comedians you admire.
The goal is to find your own unique voice while studying the good habits of successful people and staying current with the trends.
