I want to lead with a reason as to why people should listen, and I lean on admission of a personal shortcoming or an attempt to improve myself. I believe a lot of comedy comes from failed strategies, so I lead with "I have trouble achieving X goal" or "People say I should exhibit X personality trait" or "Here's a way you can achieve X goal."
This is just my opinion, but a lot of setups don't give me, Occasional Comedy Audience Member Basil White, a reason to keep listening. "I was watching TV today." Wow. "Dating can be difficult." Yawn.
I credit Andy Kline with deconstructing the Bill Hicks method of leading with a tease that the weird, stupid, hard or scary of the joke is the comic's opinion itself, or society's reaction to it. I also credit Andy with deconstructing Chris Rock's method of picking a short sermon topic with lyrical meter and repeating it and proving it with the joke. I can imagine a church sign that says "Rev. Chris Rock/Today's Sermon: Smoked Crack, Got His Job Back."
Chris Rock's very cognitive, too. Here's the problem, here's who it affects, here's why you should care, proof of the problem, strategies for solving the problem. Only Chris Rock might appreciate how smart Chris Rock is. Deep can be fun.