I have completed levels A-D for the improv training at Second City and I have to say that I have learned so much. Some of the really good teachers here are Reid, Lisa Merchant and Doug.
For me, improv is life. 80% of professional improv is failure. What the center trains you to do is to acknowledge your failure and throw out another offer so that you can pull yourself out of a bad situation.
The training teaches you attentative listening and focusing in on something that is happening in the present.
In the end you will build up more confidence and be aware of what is happening around you. Also, you will be able to take risks and allow people around you to have a good laugh.
Please note that the administration at times can be a bit hasty. Do not let that deter you from taking classes there. You will have a great time!