These aren't all traditional conservatives, and could even be classed as Liberal on many issues, but I think they are all funny:

Gavin McInnes
Anthony Cumia
Stephen Crowder
Michael Malice
Jim Norton
Greg Gutfeld
Doug Stanhope

There's plenty of other ones, especially on YouTube, but I cant be arsed. But I'd agree that generally you are going to find more Left leaning people in comedy, even if their humour is actually rather boring and uncontroversial.

You really enjoy McInnes? Dude's more hamfisted and pandering than a modern Colbert.

I like John Oliver a lot but I don't find him particularly funny tbh. I usually skip the skits he does at the end of his segments.

If Steve Hughs counts as a conservative he's probably the funniest of the bunch below Stanhope.

McInnes is hilarious but I've stopped watching his stuff lately due to him doing basically the same thing every video. His podcasts and TV appearances are great.

tuesday morning, the videos from tomorrow night will be online, should be great https://img694.imageshack.us/img694/4119/jacksonn.gif