"Here’s the difference between fighting in hockey and heckling in stand-up comedy," writes Lary Wallace at Aeon, "…the former is all about the players, while the latter is all about the fans trying to be the players."
The "classic" videos of Bill Hicks and George Carlin addressing hecklers are good examples of how heckling ruins comedy: they're reduced to yelling insults to regain control (Shh, don't tell Jerry.)
Louis CK is really good at it, though — "That is the shittiest heckle I've ever heard in my life!" — but who goes to see Louis CK to watch him banter with idiots?