The thing about stand-up comedy is, it's supposed to be an experience. That's what comedians do. Very frequently, that means the audience is part of the act and fair game for jokes, and you would do well to keep that in mind when you catch a show. Experienced comedians train themselves to be as prepared as possible to handle any kind of audience reaction-- particularly heckling. You have to remember, as rough as it might seem to you, being in the audience and having jokes directed at you, the comedian has it worse-- he has to get up on stage, he's got the pressure on him of all the collective expectations of the audience that he will be funny, and he's probably dealt with disastrous negative audience reactions before. What you experienced is honestly a fairly typical response from a stand-up. Some comedians, like Don Rickles, for example, build their whole act on insulting people. The point is to get the audience to loosen up and not take themselves so seriously.
If you don't like "colourful" language... the best thing you can do is try to research the comedian you're considering seeing before you go, if it's possible. I'd say that the majority of established comedians are likely to get colourful at some point during their act, because it usually breaks the ice and it's an easy way to allow them to keep the audience's attention. When I went to see Lewis Black a couple years ago, I knew what I should expect-- he was going to get up on stage, wag his finger and angrily toss expletives at things and people and situations that he found ridiculous. And that's exactly what he did, and it was hilarious.
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Mediocrity is a petty vice; aspiring to it is a grievous sin.