I have been to Chicago probably at least a dozen times in my life, yet my first trip to Second City was in Toronto! I left wondering why I haven't gone sooner (in Chicago).
I would suggest buying tickets in advance online, as it seems some shows sell out. My friend and I recently went to The Hotline Always Blings Twice on the main stage. We bought tickets online but didn't have a printer; thankfully, we were able to pick them up at will call. Doors opened 45 minutes early, and we arrived then to grab a drink and get seated close. We ended up front and center. It's similar to many comedy clubs--not too big, and you'll share tables. I appreciated there not being a food/drink minimum, though we still ate and drank! The food menu is pretty limited, so if you're starving, I suggest eating in advance.
The show itself was hilarious. Nearly every skit had me laughing out loud. While there were a handful of Canadian jokes I didn't get (as I'm from the States), it almost made it all the funnier. The troupe did a great job!! There is a brief intermission; restrooms are upstairs. ;) The improv after is definitely worth staying for; they took audience suggestions, and one was from my friend Daphne A.
Totally worth a trip (or multiple!) for locals and tourists!