Storytelling, message, and argument
Agreed that comedy is even trickier than storytelling. It's tough for people to laugh when their ox is being gored, but sometimes too easy when it's not. The objective value of humor is always difficult to judge, and tastes change over time. How much mainstream political humor is truly, inherently funny, as opposed to the kind of "solidarity humor" Ace described?
I think modern audiences have a great appetite for humor at the expense of hypocrisy - arrogance and conceit getting their comeuppance. Such cynical humor provides the benefit of making the audience feel more honest and sincere. And in a "mainstream" contest of comedy, it's tough for conservatives to compete against the arbiters of "sincerity." We'd never be able to match the kind of pop-culture saturation that the Left can arrange when it wants to roast someone. Who can watch Joe Biden stumble, pratfall, and gaffe his way right past the Comedy Corps with impunity for year after year, without feeling a certain degree of awe?
Narrative storytelling is a different matter, and more conducive for "conservative" storytelling, which audiences respond to when it's done competently. Left-leaning storytelling has been clumsy, off-putting, and frequently counter-productive lately, with a few notable crowd-pleasing exceptions like Avatar - a visually captivating film that has one of the most face-palm stupid scripts in history. High production values can gloss over a lot of stupidity.
I prefer not to shred otherwise enjoyable films in search of ideological content, but audiences notice it when it's blatant, or blatantly dishonest. Conservatives should find friendly terrain in solid storytelling that deals honestly with human nature. I notice that as television becomes the preferred medium for great storytelling, it's producing a lot of shows that conservatives can feel comfortable with, or applaud - "Justified," to name an example on many minds tonight. (I don't know if the writers meant to build any great level of deeper meaning into the title, but "Justified" does play out as a running meditation on the way people justify transgressions to themselves; everyone has their reasons for breaking the law, including the hero.)
Advice to aspiring right-leaning writers of fiction: tell good and true stories, and let the audience discover their meaning. You don't have to "push" anything into their faces. Do your job well, and the audience will follow your story wherever it leads. It's not much fun trying to win an argument with viewers and readers, when they came hoping to be entertained or intrigued. You can't force answers down their throats... but you can offer them the gift of questions.