The Comedy Store just off Leicester Square is excellent and NOT expensive. It's quite a tiny club with theatre style seating, but it gets some big names there, often unnanounced

A few weeks back we watched the improv there on a Sunday Night, it cost about £10 to see the acclaimed comedy club players including Paul Merton, Josie Lawrence, Neil Mullarkey, Andy Smart and Jim Sweeney. Food and drink was also a bargain. UK readers will know the calibre of these comedians, particularly Paul Merton.
http://en.wikipedia.org/wiki/The_Comedy_Store%2C_London

Have also been to Jongleurs in Birmingham, UK - Again excellent - much larger with tables in a cabaret style layout.

About 10 years ago we saw a then unknown Mark Lamaar comparing at the Town and Country Club 2 in London.