This paper explores gender in stand‐up comedy based on 20 months of ethnographic research in Finland and recent media discussion involving the booking of performers for a national comedy tour. As the vast majority of stand‐up comedians are men, discussions of gender tend to focus on the anomalousness of female comedians. These debates often rely on essentialist views of women and stand‐up comedy, presenting female comedians as transgressive due to the perceived incompatibilities of women and comedy. However, the situation in the clubs and performances is more complex. I chart this territory by looking at gender in relation to ‘invention’ and ‘convention’ in stand‐up comedy performance. I explore how some of the conventional, established and expected aspects of stand‐up, such as the public use of power and threat of failure, are related to ideas of gender. I then go on to show how comedy enables invention, new and/or unique ideas and forms. This allows comedians to approach and enact gender in more digressive ways: taking indirect, experimental paths and imaginatively shifting between perspectives and positions to subvert and question roles and patterns. As stand‐up becomes more diverse, discussing gender requires a more nuanced approach going beyond a simple binary.