For those of you who have never been to an Improv before (and don't track comedy), the Improv is a chain of comedy clubs. Almost every great comedian at one point or another in their journey to fame played an Improv. As a result, this place features stand up comedy, not improvisational skits.
With that said - this is by far the best deal entertainment wise in Vegas. Tickets are around $30 and the show is about 90 minutes long. The format is an emcee who does a small set. He introduces the feature act, who does a decent length set, and then returns the mic to the emcee. The emcee does one last set and brings out the headliner who closes the night. Essentially you get to see three comedians for $30.
One thing to keep in mind is you are at the mercy of whoever they book for that week (it's on a week by week basis). I've been there about 6 times and been fortunate enough that outside of one performer we haven't seen a bad act yet. Most of the time we've been rolling in the aisles.
The service is spotty, so order early and pay cash to make your life easier.