I'm not a big fan of improv. I don't know if because I've seen too many sketches go on waaay too long, or it has to do more with my own fear of not being in control on stage (since you are so dependant on your partners, and vice versa). Prolly more the latter.
I did a set a few weeks ago, opening for The Red Tie Mafia, and I have to say, I really dug it (I mean I dug their improv, not me opening for them, though I dug that too, anyway...). The skits were fast paced, well done, and none lasted more than five minutes. I was exhausted and planned on saying my piece and leaving, but ended up watching practically the whole show.
So if yer in the mood for some improv, I recommend checking them out at Gotham Comedy Club, where they do their thang.