Anybody who thinks that Eddie Murphy's Raw and Delirious shows were the best (both awesome, I agree) should check out Richard Pryor. The likes of Murphy and Chris Rock wouldn't ever claim to even be as good as him. He pretty much gave birth to that kind of comedy.
His ability to tell stories about the grimmest things that happened to him - growing up in a whorehouse, setting himself on fire after trying to freebase cocaine whilst spilling rum on himself, shooting up his girlfriend's car, having a heart attack - in such a humourous and candid way was nothing short of amazing.
He was also a great actor on stage which greatly added to his Live shows. He'd play out dialogue between multiple characters, giving them clearly defined personalities and voices in a way that most comedians could only aspire to. Absolute genius. Can't help but feel that his work has been diluted a bit by so many people playing the magpie with his work but he was a revolutionary in the comedy world.
Other great comedians I would advise everyone to check out are Mitch Hedberg and Demetri Martin. Very funny and very clever.