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I hear a lot of comedians complaining about this, but usually it's less about their DVD and CD sales, more about how it might ruin their show - if people have already seen the punchlines prior to a gig, they're not going to laugh as hard. Or worse - they might shout it out!
I'm not sure how much comedians actually make from selling their performances as video/audio recordings; especially if they're not big stars. Like musicians, I imagine the real money comes from constant touring.