PFT on how to structure a set:
Unfortunately, it IS best to close with something really funny. And to open with something really funny.
Ideally, whatever you open with establishes your sensibility. So even if you don't feel it is a blockbuster bit, try and pick something you feel is really "you". Then the crowd will decide if they want to go along with you or not. And it really is best to end on a high note. Even if only because it just feels better.
But also because if you have a limited amount of time, that last impression can mean a lot. Try and make sure you've got your timing down, so you know how much time you have after the light. Or ask the person in charge of the light to give you that light at a certain time so you can do that bit without rushing it. If it's a two minute bit, ask to be given a light when you have two or three minutes left. Then you can take your time with it.
Having said all that, do it the way you want to do it. There are no rules. My advice might make things a little easier for you, but it's your style and I haven't seen your material, so who am I to tell you what to do? The best way to learn how to structure your set is doing it a bunch of times and mixing things up if you feel they're not working to your satisfaction.
Dealing with hecklers:
When I first started, I had enormous difficulty dealing with hecklers. Any time anyone in the audience said anything, I instantly went on the attack, and in a rather inelegant fashion. I just tried to shut people down with insults. What took me forever to learn was that you have to give these people enough rope to either hang themselves or show that they are not actually a threat. It's worth talking to hecklers to see if they are just goons who are trying to ruin your set or if they are just enthusiastic folks who want to get in on the fun. Talking to them lets the audience know what they're all about, so if you need to take them out, you will definitely have the audience on your side. If they're simply nice people who don't realize they're committing a faux pas-- and believe me, most people have no idea that it's not good to yell stuff out at shows-- you can get some comedy out of it and gently let them know that their input is no longer required.
Why he loves Brian Regan:
A guy I absolutely love is Brian Regan. He may not be underrated per se, people do know him and his is respected, but I don't think he's respected ENOUGH. What Brian does is almost impossible-- to be hilarious and have the butt of the joke be HIMSELF 99% of the time. Comedy can be pretty much boiled down to making fun of stuff. It's a lot of finger-pointing. Like I do. So to make yourself the object of ridicule and be as funny as Brian is is pretty hard to pull off without being some milquetoast quasi-Christian comic. Any time his special comes on Comedy Central, I will watch it to its conclusion no matter when I happen to jump in.
What he does if someone else has a similar bit:
When something like that happens to me, I drop the bit. Even if I think my bit is better written and executed than the other bit with the same premise. I just hate the idea of me doing a bit that's similar to someone else's very specific bit. It's happened to me a few times, and I've dropped the bit even if I came up with it first. I think it's best to be able to say to yourself, "I can always write more material."
And in Paul F. Tompkins, Comedian (Gothamist), he talks about being himself onstage:
I want to be as much myself onstage as possible so that I can communicate to the audience the things that I find funny in the way that I find them funny. The challenge of stand up is, "How do I express this idea to the audience as closely as possible to the way that it made me laugh so that we're having the same experience."
Buy tickets for one of PFT's shows this weekend or get his album "Impersonal."