I would go as a Black White Supremacist. That would go over real well I'm sure. Seriously, I would not worry about what you wear. I saw him years ago and it was the best comedy show I've ever seen. Just wear something nice that you would wear at any public place and worry more about your side hurting from laughter cause it's gonna.
A guy should wear something smart to a Dave Chappelle comedy show. This would be probably a nice fitting jeans and shirt. You can also wear a stitched jeans with a casual collared shirt, sweater vests and a cardigan.