I read quite a lot while researching the show. Here are some of the things I found really useful:

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Leo Rosten's Book of Laughter - Rosten (Elm Tree Books: 1986)

The Psychology of Humor - Martin (Academic Press: 2006)

The Laughing Stalk: Live Comedy and It's Audiences - Ed. Judy Batalion (Parlor Press: 2011)

Laughter: A Scientific Investigation - Provine (Penguin: 2001)

On Humour - Critchley (Routledge: 2002)

The Joke and its Relation to the Unconscious - Freud (Penguin Edition: 2003)

The Bedwetter - Sarah Silverman (Harper: 2011)

How I Escaped my Certain Fate - Stewart Lee (Faber and Faber: 2011)

Comedy: "An Essay on Comedy" by George Meredith. "Laughter" by Henri Bergson  (JHU Press, 1980)
Comedy - The New Critical Idiom - Stott (Routledge: 2004)

Inside Jokes: Using Humor to Reverse-Engineer the Mind - Hurley, Dennett and Adams (MIT Press: 2011)