Never been to either but there is the Comix cellars on Gawler Place and the Rhino Room on Frome Street (both in the CBD). If you ever go let us know what they are like.
Went to Comix on Gawler place for a Bucks night in January, the acts were actually a lot better than I was expecting, I think one of them was even off to Edinburgh.
Well, after having dinner at the Wine Underground on Pirie St (fantastic by the way), we walked over to Da Costa Arcade to go to the Comix Comedy Cellars. I'd checked their website during the day and it looked pretty good.
Keep in mind that this was Saturday night, at about 9:30 or so. It was closed. I thought to myself "This can't be right, maybe there's another entrance", so I called them, but it went through to an answering machine. So we ended up going for coffee and going home.
Have since checked their website and can't find anywhere on it what their opening days and times are. Very strange.
So, was disappointed, but the coffee at Felini's in North Adelaide was good.
I've been to this one once before. Went to the Rhino Room to see Bob Franklin and some other stand ups. Thought it was really good and the stand ups were better then I thought. A few jokes fall flat, and one guy was reading from paper but it was still a very relaxed and enjoyable atmosphere.