Your opening joke has a lot of pressure on it. It has to introduce you and your voice to the audience and get them to trust that you're funny and interesting. A lot of people (including myself) also put a lot of pressure on it to get laugh as quickly as possible. It makes sense, because you haven't built a rapport/trust that lets the audience know you're going somewhere great yet. But I've seen people, especially those with storytelling experience, able to just keep the audience engaged and that can be enough.
I heard a great piece of advice from Josh Johnson after I had finished bombing at Snubfest that had been handed down to him, "Imagine you're on a bus and starting a conversation with the person in front of you, what would you start off with?". I've been watching a lot of standup focused on how other comics open their sets and wanted to share some of my observations. Mostly as notes for myself because I'm a nerd and dissecting things helps me process them.
Give it up For....
I almost skipped over this because it's so fundamental it doesn't really count as your opener. But sometimes just getting the audience to laugh/clap as soon as you get on stage can be great first step. Getting the audience to clap for the host that brought you up is a super subtle way to get the energy up off the bat. It's also great to actually appreciate the host because it can be a thankless job.
A lot of people go with jokes based off of their appearance. It's the first thing the audience notices about you and its a quick way to connect with them. Also works well if something about your physical appearance separates you from the rest of the audience (you're tall, a different race, etc.)
- "People tell me I look like (insert famous person) but if (insert deprecating remark)".
- "I look like (insert stereotype) but I'm really (subverting stereotype)"
Similar to this is taking advantage of having a name foreign/ethnic to the people in your crowd (my opener).