In terms of podcasts, obviously the Earwolf people do a lot of improv-oriented podcasting. The closest thing to a straight-up improv show that you'd get on a podcast is Improv4Humans from Earwolf, which is often hysterically funny. Matt Besser is the host.

I like to see whenever the UCB or Second City touring shows come by wherever I am... I'll be super-pumped to move to LA and have the creme de la creme in my hometown.