The International Jazz Festival, Just For Laughs, and FrancoFolies de Montreal -- three of the largest -- draw more than five million visitors every year, according to the Partnership.

BBC: The Quartier des Spectacles, Montreal's Broadway

Chicago was "the most obvious city that did not have a comedy festival, " says Bruce Hills, chief operating officer at Just for Laughs.

WSJ: Conan O'Brien and Sarah Silverman at the Chicago Comedy Festival