From my dictionary:
USAGE 1 According to traditional usage, comprise means ‘consist of,’ as in : the country comprises twenty states, and should not be used to mean ‘constitute or make up (a whole),’ as in : this single breed comprises 50 percent of the Swiss cattle population. But confusion has arisen because of uses in the passive, which have been formed by analogy with words like compose: when comprise is used in the active (as in : the country comprises twenty states) it is, oddly, more or less synonymous with the passive use of the second sense (as in : the country is comprised of twenty states). Such passive uses of comprise are common and are fast becoming part of standard English. 2 On the differences between comprise and include, see usage at include .
Without the of is correct, but with it is becoming more accepted.