And those press dinners have taken on a more higher profile ever since Obama was elected President. You certainly didn't hear anything about them when Clinton, Bush, Bush Jr., Reagan, etc. were President.
Actually, not true. I don't remember them in Reagan or Bush I, but I remember these dinners during the Clinton Administration. Bubba wasn't such a good sport, and didn't really appreciate being the butt of jokes from comedians, but he would laugh with a pained look on his face.
Here's a clip from the 2000 event featuring a video that lampoons Clinton's final days in office:http://politicalhumor.about.com/library/blclintonfinaldaysvideo.htm
And here's Stephen Colbert at the event in 2006 roasting "W," who doesn't look all that comfortable either:http://video.google.com/videoplay?docid=-869183917758574879#