There's nothing wrong with a comedian laughing at his own material, as long as the laughter is genuine.
I'd even go as far as to say there's nothing wrong with a comedian laughing at his own material even if the laughter is fake - as long as it appears genuine. It is an "act" after all.
Having said that, I do get annoyed with comedians who laugh at their own material in a way that is obviously fake.
The worst offender is probably Joel Dommett, who giggles and chuckles his way through his act in the most unconvincing and embarrassing way I've ever seen in my life.
Perhaps he's worried that if he stops laughing at his own jokes, he'll be performing in total silence?
