I haven't seen The King of Comedy, but I do really like Buffalo '66. It's a strange movie, kind of artsy/pretentious, but Christina Ricci (who was one of my heroes growing up) is great in it, and the movie reunites her with Anjelica Huston, which is really cool.
I think the movie could be paired with Boogie Nights, so that might give you a rough idea of the feel of it.