Jim Gaffigan (outstandingly funny) has two parallel joke streams in his act: in the primary stream he makes jokes, and in the secondary stream he affects the voice of an uptight, perplexed female audience member and comments on the jokes he just made:

You can't have cake for breakfast. Unless it's a pancake.  How'd that slide through?  Young man, you're not having cake for breakfast, you're having fried cake with syrup for breakfast.  Now load up on that and try not to nap.  Pancakes definitely make you lower your expectations.  Well, look's like I'm not showering today. (pause)  This guy talks a lot about cake. [Then on to jokes about birthday cake.] If he does another cake joke, I'm going to kill him.

[finishing a joke about Hot Pockets and Nascar]... hey, I like Nascar.  He's a jerk.

[a series of jokes on holiday traditions, then finishing with a joke about Mr. Rogers:] Remember that from Mr. Roger's?  And they wonder why we do drugs.  Oh, that was negative.  How about those traditions, fellow.  Why don't you go back to that?  [and so he jokes about Valentine's Day and about eating something from the heart-shaped "gamble chocolates:"] Oh, that was really nasty-- I'm going to have to eat nine more to get rid of the taste. (pause)  That joke didn't even make any sense.

If you hear his act (not just read it) you'll hear how the sidebars of the "commenting woman" are as funny as the main jokes, and are not incidental-- they form a necessary part of the routine.  They function as brief pauses of concentration to relax the audience, and relieve some of the pressure off the main jokes-- even if the main jokes are not that funny, the sidebar can give them meaning as something to be commented upon.  Thus, even jokes that are not funny can be made funny by commenting about them. (But NB: they're all pretty funny.) 

Some comedians explicitly state that they are doing an act; there is no suspension of disbelief that the entertainer is telling a "true" story.  The comedian lets you know this is fake, constructed, but still funny: 

Daniel Tosh (hilarious) on Tourette's:

Do you think there's one case of polite Tourette's in the world?  One person, who yells out random compliments for no reason at all?  Nice smile! I'm sorry ma'am, I have a disease....  Lovely hat!  I think two examples is enough-- next joke.

And on changing Daylight Savings Time:

 I'd like to change Daylight Savings Time-- are you ready for this?  Hold on Irvine--(pause)-- I put whatever city I'm in right there so it feels more local... (etc)

...[it's not fair, especially to] the people who work at night-- 1/3 of this country according to a survey I just made up for this joke...

The main joke is funny, but it's funnier because he has allowed the audience into the process. 

Another example is the terrifically funny Mitch Hedberg, who does a Steven Wright-esque routine of short, independent jokes ("Every book is a children's book if the kid can read.")  But different than Wright, he also references himself as a comic, and tells you how he feels the set is going: 

Mitch Hedberg 

I think a gift certificate is a bad gift.  What's a gift certificate?  You take money that was good everywhere...(a lot of laughter/cheering from the audience; he, too, starts laughing)  You took a little long on that clap.  I had some extra lines, but now I can't do them.

On writing jokes in his hotel:

I got to write these jokes.  So I sit at the hotel at night, I think of something that's funny  and then I get a pen and I write it down.  Or, if the pen's too far away, I have to convince myself that what I thought of ain't funny.

It is common for Hedberg to judge his own jokes ("that joke was dumb, I'm aware of that") or talk about how he tells jokes ("I have monitors [today], thank God, because last night I didn't have them and I was telling jokes, and I had no idea what joke I was telling.  So I told jokes twice.  I even told that joke twice") or accept joke requests from the audience ("cherries joke?  Wait, you mean the cherry--?  Ok-- I heard a guy tell me he liked cherries.  I waited to hear if he was going to say, "tomatoes," then I realized he just liked cherries...  that joke is ridiculous."  He also jokes about taking the laughs he gets from one joke and using them on the CD for jokes that didn't work.

The comedians themselves aren't narcissists; they are tapping into the narcissism of the audience.  The audience is attracted to  these comedians because they get brought in, they get to feel like they are part of the comedy, part of the process, part of the act-- they are behind the curtain, behind the scenes. They're not the performers, but they could be; and at least  their close confidants, and that's a start.

This meta-comedy is appealing because by being brought into the process, audience members are permitted to believe that what separates them from being the main act isn't hard work, or talent, but being noticed, being selected, getting a break.  I could so do Mitch's act.  Howard Stern is also like this.  Few people think they could be disk jockeys, but almost everyone thinks they can do a 4 hour morning show.  And they think this because Howard has brought them into the process of a morning show.  So you feel like you've already done it, you know the tricks of the trade and you're good enough.  But you're not-- you're just narcissistic.

To follow the evolution of this process, go back to the previous leader of comedy: Jerry Seinfeld.  Certainly, his show "about nothing" was about himself, his (feigned) narcissism.  It was the unimportant minutiae of his life blown out of proportion: he was the main character in his own show.  But today's comics play on our desire to be main characters, first in their shows, but of course ultimately in our own.

I used to hear people repeat Seinfeld's jokes, but it was funny precisely because we all had a shared experience of them.  But nowadays I hear people use a Hedberg joke as if they came up with it-- because they could have written it.  They could be comics, too, if it wasn't for the wife and kids. Mitch wouldn't mind, anyway; he's a friend.