Chicago Theater
Modern American comedy - the good parts, at least - was born when a group of young actors from Hyde Park formed The Compass Players, fusing intelligence and a commitment to character with an improvisational spark. One strand of their topical, hyper-literate comedy led, directly or indirectly, to Shelly Berman, Mike Nichols & Elaine May, Lenny Bruce, M*A*S*H and The Mary Tyler Moore Show; another strand, namely The Second City, led to Saturday Night Live and a pretty huge percentage of the funny movies and television of the last thirty years. Still in Chicago's Old Town (and few other places as well), still smart and still funny, Second City does two-act sketch revues followed by one act of improv. As the saying goes, if you can only see one show while you're in Chicago, even if you have no particular interest in theater, Second City is one to see.
Improvisational comedy as a performance art form is a big part of the Chicago theater scene. At North Side theaters like The Annoyance Theater, I.O., and The Playground, young actors take classes and perform shows that range from ragged to inspired throughout the week. Some are fueled by the dream of making the cast of SNL or Tina Fey's latest project, and some just enjoy doing good work onstage, whether or not they're getting paid for it (and most aren't). There's no guarantee that you'll see something great on any given night, but improv tends to be cheaper than anything else in town, and it can definitely be worth the risk.
Steppenwolf, also on the North Side, is Chicago's other landmark theater. Founded in 1976, they have a history of taking risks onstage, and they have the ensemble to back it up, with heavyweights like Joan Allen, John Malkovich, and Gary Sinise. Steppenwolf isn't cheap any more, but they mix good, young actors with their veteran ensemble and still choose interesting, emotionally-charged scripts. It's the best place in town to see modern, cutting-edge theater with a bit of "I went to..." name-drop value for the folks back home.
Most of the prestige theaters like Victory Gardens, Drury Lane, The Goodman, The Ford Center, The Cadillac Palace, and The LaSalle Bank Theater are located in the Loop or the Near North. Tickets are expensive and can be tough to get, but shows destined for Broadway like The Producers often make their debut in Chicago before going to New York.
One theater to see, regardless of the production, is The Auditorium in the Loop. It's a masterpiece of architecture and of performance space. Designed by Dankmar Adler and Louis Sullivan, who were on a commission from syndicate of local business magnates to bring some culture to the heathen city, it was the tallest building in Chicago and one of the tallest in the world at the time of its opening in 1889, and it's still an impressive sight, inside and out.

