Bill Hicks is a good start, go for Relentless or Dangerous, the others are good too but not as polished, it was topical at the time but quite dated now.
Jerry Seinfeld did a good show, "I'm telling you for the last Time"
Mitch Hedburg was very good.
Ricky Gervais (The Office) did some funny podcasts.
Daniel Tosh, "True Stories I made Up"
Dane Cook's albums are good, didn't think much of 'Tourgasm' though
Dennis Leary is good if you can't get hold of any Bill Hicks but you don't need both.
Eddie Izzard is better on DVD but still ok, probably best to watch him first though.
Jack Dee is a very funny english comedian, his early stuff is best.
Stand Up America is a good compilation album but I can't find any links to it
Emo Philips, a very strange and funny man
Stephen Lynch, I don't usually like Comedy songs but these are better than most.
Anything by "Monty Python"
Billy Connolly has done loads of work and most of it is good.
Mitch Hedberg may be the king of one liners but that would make Steven Wright the Emperor, check out
http://www.weather.net/zarg/ZarPages/stevenWright.html then listen to him deadpan through them
Ed Byrne
Sean Hughes is very droll
Steve Coogan doing Alan Partridge is fantastic
Jeremy Hardy
Paul Merton is good but his dialogue jumps around a lot
Chris Morris, "Blue Jam" very difficult to listen to but very worthwhile
"The Fast Show", if you like catchphrases
"The Secret Policemans Ball" is a good mix of english comedians
There are loads out there, I downloaded loads as most of mine are on tape or vinyl,
there are a few to avoid, Carlos Menacia wasn't much good and others like Douglas Stanhope were ok but you wouldn't want many of them, The Blue Collar Comedy Tours were ok but everyone has their own tastes, just download one of everything and I know it sounds hypocritical but then buy the rest of the albums or go see them live, they have to make some money, it's not like computer games, Comedy is important!
Enjoy