You want your audience warmed up, clapping and smiling when they first lay eyes on you. It's like getting a running start; the momentum will already be built up when you arrive. To help with this, make sure the show host knows how to introduce you. Write out your own introduction that will tell the crowd who you are and what to expect: "Straight out of Cleveland, the filthiest man in show business ... Joe Comedian!" Also, spell out your name phonetically if it can be mispronounced.
Jump on current issues or hot topics immediately and work on material to which people can relate. Don't be afraid to get in the middle of the latest news or gossip. People may be more likely to find your take funny because they know what you are talking about and may feel the same way. But be ready to abandon those topics quickly as well. Comedians who continue to tell jokes about something that was in the news six months ago will not be considered funny.
Keep a notebook with you all the time. Write notes about things that you see that strike you as funny or you can make funny. Later you'll be glad you have these nuggets of material. You can pick out the ones that go together and develop them into bits that will make up your routine. Your observations may be the most powerful part of your act.
Never try to guess what the audience will think is funny. The only way to be a genuinely funny comic is to write what you find funny and hope that others will, too. Your audience will be able to spot it when you aren't speaking from the heart.