Location

I know it's been a while since you posted, but most of the interiors, in particular the comedy club, were shot in LA, but some location shooting did happen in NYC.

The exterior of the comedy club was shot at 656 W 125th Street, which is now "The Cotton Club." The diner scene where Tom Hanks tries to sell jokes to Sally Field was shot across the street, but as soon as they step outside... movie magic sends them to 125th street and Broadway, where they catch the IRT subway.