This is a fantastic way to spend an evening. We saw "Click Bait & Switch" a few weeks ago, and really enjoyed ourselves. The tickets are very affordable, and you'll get 1.5-2 hours of comedy for your money. I've heard they do improv; the night we were there they only did about 10 minutes, but that seems on the short side from others' experience.
Definitely get there early and/or spend a little extra to get rail seats if you plan to eat or drink anything. The theatre is small, and you may end up sharing a tiny table (the size of a home end table) with several other patrons. Food is ok, and it's prepared next door at Gretzky's restaurant. Nothing spectacular, mostly finger food, and you'll probably have eaten it before the show starts. The food offered at the Chicago location is more expansive. Drinks are priced reasonably, and alcohol is always a good idea with comedy. I'd definitely go back if I find myself in Toronto again.