Does expectation ever lessen pleasure? Is the best kind of laughter always unexpected? You go to a comedy club and expect to laugh. Do you?

Does expectation ever lessen pleasure?
I'd say YES.

That's why I hate going to movies at the theater.
You look at the trailer, and think it's going to be a great movie ... then it turns out all the good parts were in the trailer.

Or the commercials for toys.
Then ya beg for the toy for Christmas or Birthday - only to discover the toy wasn't as fun as the kids in the commercial were having.
Or, worse even, you can't use an outside toy as much because it can't handle the weather where you live.  lol
(like most RC cars aren't supposed to go on wet surfaces, and it rains "all the time" in western WA and OR)

I've never been to a comedy club ... because I don't want to be disappointed, if the comedy isn't funny.

Both yes and no. It depends on what we expect.

If we expect something to be unpleasant or humdrum, and it turns out to be enjoyable or just the right thing to meet our needs,
then our pleasure will be far greater than our expectation.

My favourite kind of laughter is the sudden perception of something unexpected, or more specifically the unlikely collision of two previously unrelated fields or matrices.

I've rarely gone to a comedy club. Part of the reason is that once I've got the comedian's style, the rest becomes predictable.
That's not quite fair; it's true of the average young comedian who these days relies on swearing and the socially obnoxious, ostensibly for its shock value. It doesn't shock me; it just convinces me that they have a poor vocabulary and not much imagination.

But there is great comedy, for instance, Billy Conelly's film The Man Who Sued God, or Monty Python's Life of Brian. Have never been disappointed when I've been to see the greats.