Cheaper Than Therapy Comedy hosts live stand-up every Wednesday through Sunday, year-round at the historic Shelton Theater in Union Square. Each show features five to six experienced comedians plus occasional guest drop-ins. Doors open at 7pm for the full bar (no drink minimum). Arrive by 7:30pm to check in at the box office. The show starts at 7:45pm with last seating at 8:05pm, and always wraps by 9:15pm. Craft drinks and good seats are available if you arrive early.