Go to comedy clubs as often as you can. If there's not a comedy club in your area, watch comedians on TV, DVD or online. The more you see what works for others, the more you can incorporate those same skills into your act.
Take an improv class. The skills you'll learn will sharpen your wit, teach you to be funny on your feet and introduce you to others in the business.
Write with a partner. The collaboration and riffing between you can give rise to jokes you wouldn't have written on your own.
Start small and work your way up. Do short sets at open-mic nights, where you can try out new material on new audiences. By refining short sections of your act, you can slowly build a longer show.
Listen to people talking around you. You never know where good material might come from. It could be the subway, the state fair or the local buffet restaurant. Keep your ears open and carry a notebook to write down funny scenarios or observations.