As already stated above, the use of a first person narrative in comedies work because the main character is used as a vessel for the reader.  My husband does a lot of reading, and he doesn't like first person narratives in certain genres, but he does like first person narratives in comedies because it gives him the feeling of actually being there.

Which would you find more interesting if you were holding a simple, interpersonal conversation:

"Joe went to the store and bought some bread the other day."

"I went to the store yesterday, and paid a dollar for a loaf of bread."

The second statement makes the conversation more directly involving, and therefore, it tends to get more attention. Plus, it has a tiny bit more detail, mostly because it happened to the speaker himself. The idea that first person is more conversational, and perhaps even more human, is the main reason why authors like Mark Twain use it when writing humor.

An interesting question. First of all, let's be clear: not all writers or speakers do use first person narratives. Many use third person, or even a direct second person address. (As in, "Did you ever notice how…?" That's second person.) As far as why one might want to use first person, it allows for self-deprecating humor. I can make fun of myself. I can share stupid things I've done without scoring points on other people. Second and third person narratives both incorporate at least some degree of cruelty. If I use them, I'm making fun of someone else. If I use first person, I can be the only fool in the room.

It is much easier to convey the humor of a situation if it happened to you.  Using first person narration allows the writer to make the story very personal, which adds to its humorous element.  When third person narration is used, the writer can only speculate as to what the person being written about felt/saw/etc.  Personal feelings and thoughts are important elements to any story, especially one that is humorous (humor can be difficult to express).