The Second City
If you've ever laughed, chances are you've laughed at someone that came out of The Second City. Alumni of this prestigious comedy school include John Belushi, Dan Aykroyd, and Tina Fey, among many, many others. If you want a career in comedy, train there. If you want a fun night out, catch one of their improv sketch comedy shows (for example: A Clown Car Named Desire), performed just about every night of the week.