From local legends (Cameron Esposito and Rhea Butcher) to legend-legends (Steve Martin and Lily Tomlin), here are our top 10 comedy shows not to miss this fall. Jo Koy Jo Koy had been working for almost three decades and had two specials under his belt when he decided to self-fund and self-produce his third one, filming it last year in his hometown. The result was “Jo Koy: Live From Seattle,” an endearingly honest and captivatingly funny performance that saw Koy digging deeply into his family life and personal hang-ups. Netflix promptly snatched it up and released it in March, exposing a whole new fan base to Koy’s unique blend of nervous energy and confessional comedy. The Chicago Improv is giving Chicagoans 14 chances to catch Koy at his best: live. Sept. 8-17 at Chicago Improv, 5 Woodfield Road, Woodfield Mall, Schaumburg; Margaret Cho A consummate comedian who has been performing professionally since she was a teenager, Margaret Cho was pushing the envelope decades before it was cool, and has the track record (not to mention the Grammy and Emmy nominations) to prove it. Cho may be executive-producing and starring in a TV pilot for a new show based on her experience with substance abuse (TNT’s “Highland”), but a busy schedule has never slowed her down before. Kicking off with a night at the Chicago Theatre, her latest world tour — the “Fresh Off the Bloat” tour — promises all-new, button-pushing material. 8 p.m. Sept. 23 at the Chicago Theatre, 175 N. State St.; Steve Martin and Martin Short In the comedy world there are those who are famous, and then there are legends of the game. Without a doubt both Martin Short and Martin, Steve fall squarely in the latter category, with enough bona fide entertainment titles between the two of them — movie star, playwright, musician, TV host, author — to fill several shows. For two nights at the Chicago Theatre the “Saturday Night Live” alums present “An Evening You Will Forget For the Rest of Your Lives,” an intoxicating mix of music, stand-up and conversation from two guys who excel at all three. Oct. 6-7 at the Chicago Theatre, 175 N. State St.; Jim Gaffigan Earlier this year, Jim Gaffigan found out that his wife and