I feel like a lot of it is socially constructed. I think that people tend to react less positively towards women who act the way stand up comics usually act. I feel like a lot of stand up comedy is made up of complaining and cursing which, in my limited experience, are frowned upon more when women do them than when men do. I know a few women who are some of the better improvisational comedians that I know, but they're also the only female improvisational comedians I know. Maybe I find them funny because improvisational comedy is also a very different comedic style than standup.
Even in this thread, several people have linked a lot of female comedians. Vanessa Hollingshead was linked early on, and I found myself saying "I don't like her standup." But then I tried imagining a man saying the words and, to be honest, I thought it was funnier. Again, I think that's because I've grown up identifying that type of anger and complaining as "okay" for men and "not okay" for women.
forsinain42, on the other hand, held up a selection of female comics that I found very amusing. But in my opinion their comedy was also much less angry and abusive, and instead they were more witty.
I think "intelligent" comedy, as a rule, is more rewarding but also far more difficult. So again, I feel like women don't have the social acceptance to fall back on the angry/crass/vulgar comedy that it seems like the guys tend to get away with.