Much of 'how stand-up works' is based on the theory that the comedian creates tension, and then punctures it to cause the audience to laugh. It's how most jokes work, and subsequently how most (but not all) comedy 'bits' work.
The more seemingly unfunny the 'set up', the bigger the tension - and, in theory at least, the bigger the release when the tension is destroyed. This goes hand in hand with the idea that stand-ups 'say the unsayable' - but audiences, bless 'em, don't always know that they're supposed to abide by a formula.
For example, sometimes an audience will be so taken by an 'unfunny' thing in the set-up, that they're too hung up to laugh when the punchline comes around, because they're still thinking about the unfunny thing. A lot of times it's certain hot-button words or topics like rape, child abuse or cancer. All things being equal, and as long as your joke doesn't contravene your own moral code, then you should be able to joke about anything. But the comedian has to be aware that if it's a contentious topic - the joke better be really good, and that you may have to argue with an audience member afterwards.
Anyway - assuming that an act is not necessarily going to bring out something shocking in their set, the biggest tension they'll face is the one created when their name is introduced. The audience won't have heard of them and so the underlying tension in the room is the audience subconsciously thinking 'I hope they're not awful'. The act has then got a window of opportunity to destroy that tension - how long exactly is open to debate but, generally speaking, it's probably between about 30 seconds and a minute before the audience starts to worry that they were right, and that the act is no good.
Sometimes this leads comics to try and get to the mic as quick as possible and get the first joke out at double-quick speed, but this is self-defeating, it makes you look nervous and no-one wants to watch a nervous performer, and generally speaking, nervous performers make audiences nervous. It's very hard to genuinely laugh when you're nervous. Hence 'nervous laughter' being a totally separate entity (and one of my most hated noises).
If you are calm, and look like you know what you're doing, the audience will already start to relax - an act with one of the most reassuring on-stage presences in the world gave me this piece of advice;
"You're already doing something that they would never do, they already kind of respect you."
COMING SOON: There's going to be another part to this post where I ming on about opening lines.