This article is from the Stand-up Comedy FAQ, by Steven Rosenthal and Steve Silberberg (email@example.com) with numerous contributions by others.
A. Well you could move, but consider starting your own Open Mike. Go to a
local bar, or club, or even shopping mall and pitch it to them. Tell them
you are going to run a comedy night once a week or so. If you don't have,
or can't afford equipment, a bar, or anyplace bands play are usually a good
venues. The point is, make things happen for yourself. If you depend upon
others for your success, you'll often end up getting screwed politically,
financially, or creatively, but seldom physically.