Stand-up comedy as a way to improve rationality skills

I think you're definitely on to something interesting. A certain type of clever humor is associated with exposing strange patterns that seem nonsensical or aren't examined, which for whatever strange reason we find funny. Wordplay is part of this as well (Scott Alexander has a whole book based on humorous wordplay, among other topics).

I would strongly suspect humor doesn't make you more rational/smarter/scientific, but is a fun grounds for playing around with strange ideas and patterns.

Having said that, I can think of worst ways to spend a Friday night :)

Well, stand-up comedy follows pretty much the scientific method: you come up with a routine, test it to the public, see what works and what doesn't, discard the second, come up with a new routine, and so on. Wash, rinse, repeat.
I don't know how much public there is for deep transhumanist humor, but robot stealing jobs to humans is a thing that started two centuries ago, so I would watch a comedian impersonating a robot stealing jobs from stupid humans, making fun of their most irrational traits.

Additionally, humor - especially self-effacing humor - allows one to critique ideas or people held in high esteem without being offensive or inciting anger. It's hard to be mad when you're laughing.

Thought: Humor lowers one's natural barriers to accepting new ideas.

In the context of ideas as memes that undergo Darwinian processes of mutation and natural selection, perhaps humor can be thought of as an immunodeficiency virus? A way to lower an idea's natural defenses against competing ideas, which is why we see Christians willing to listen to Atheist comics, and vice versa. Humor lowers Christianity's natural defenses against Atheism (group consolidation, faith, etc.) and allows new ideas to attack the weakened "body."

The theory of comedy that I find the most convincing is that things we find "funny" are non-threatening violations of social mores. According to that theory being funny isn't so much about being rational, but understanding the unwritten rules that govern society. More specifically it's about understanding when breaking social rules is actually acceptable. It's kind of like speeding. It's theoretically illegal to go 26 in a 25 mph zone. But as a practical matter, no cop is going to pull you over for it. I'm not sure that an especially detailed understanding of social norms is directly useful to becoming more rational. Maybe to the extent that you're more consciously aware of them and how they influence your thinking.