Do our older readers remember a time before Al Gore invented the Internet and everything changed for the entertainment industry? Remember those concert movies that comedians would actually release in the theater that people would pay money to see? Richard Pryor had a couple and Eddie Murphy had one with 'Raw'. There were scores of others as well for those particularly well-known comedians of the time.
Nowadays, there are only a few comedians that could actually have a theatrical comedy concert anymore (Sarah Silverman released 'Jesus Is Magic' in about eight theaters). This is mostly due to the massive number of alternative choices for finding such things, particularly due to that Internet thing mentioned before.