If it's a Friday or Saturday night, chances are you'll find me at Steel City Improv Theater. If you are looking for quality long form improv in Pittsburgh, this is the place to go. Tickets are affordable ($10 or less), the space is comfortable, and drinks/snacks are available for next to nothing! I've taken classes here, and can't believe how far I've come as an improviser. Friends and family whom I've brought to shows have always had a great time. Just up the metal stairs in front of the theater, there are tons of options for drinks and dinner before/after. Street parking is abundant on Ellsworth Ave and the side streets, or the new parking garage on Centre is totally walkable.
Steel City Improv Theater is a great place to start out a Friday or Saturday night. It's always a wonderful community, full of laughs, acceptance, and damn good improv.