How long is a show? We're looking at a 7 oclock show when there is a 9:30. Does it go all the way up to the next show?

If I understand your question correctly, the 9:30pm show will not start until the 7:00pm show has completed. Don't worry too much though the Funny Bone folks are keen on keeping the comics on time by shinning flashlight when they've reached their time limit.

It there is a 7pm and 9:30 show it will end by 9pm.

Sometimes it gets close, but show duration varies. There will be some gap (unless otherwise mentioned).