I'm a HUGE stand-up fan. Usually I download HBO or Comedy Central stand-ups on mp3 and burn them onto cd. Here are my favorites:
Brian Regan (who you already mentioned)
Honestly I don't think I've ever laughed as hard as I did the first time I heard Eddie Murphy's "Delerious" HBO stand-up. It's pretty dated now, but I first heard it like 5 years ago and I couldn't stop laughing. I can only imagine how good it was live 20 years ago.