Here are a few links to places which have taught Improv here in Chicago in the past.
I should warn you that "caveat emptor" applies with a vengeance here. Even places that are generally good will occasionally bring in instructors who, in one way or another, will give you much less than your money's worth. It is good to sit in on an instructor's class and talk to some of his students before signing up for one of his classes, when possible. Certainly, you should make an effort to see some of the student shows.
In addition to these, I would point the reader in the direction of two relevant resources I came across :
Theatre Chicago
Listings of live theatre, and such
http://www.theatrechicago.com/
Yes and ...
Site devoted to theatrical/comedic improvisation, disproportionately
much of it local
http://www.YesAnd.com/
Where did you come from? Click on your location and you'll go back there.