Yeah a lot of the greatest comedians battled depression and drug problems, all the while turning their pain into laughter for others.
Outside of political satire I dont think comedy is particularly liberal or conservative, even if its subject may seem political. Look at a lot of the stuff by the South Park guys- Team America: World Police is a good example.
If we are talking political satire though, liberals are definitely better. Except that comedy is completely subjective, so who the fug cares. Unless you dont like any comedy, then fug you.
though, i'm sure many conservatives would absolutely hate team america.
you CANNOT make fun of america.