I went to a performance at Go Comedy last weekend. Back when I was in high school, I used to do improv as part of the normal diet for young actors, which is why I suspect one of my friends invited me to go.
We went for two of their shows, a showdown and Dark Matter. The Showdown was two teams of actors competing with each other, somewhat similar to Who's Line Is It Anyway? One of the actors even claimed to have played Punky Brewster (and she was one of the better actors.) Dark Matter just featured the actors making new scenes over and over again. That sounds potentially boring, but they were clearly having fun. You got the sense that they were doing this just because it was fun for them.
Between shows, one of the actors came up to me and my friends and thanked us for coming. "Is that normal?" I asked one of them.
"They hang out at the bar a lot and will talk to people, so yeah." I was surprised to hear that, because I figure people wouldn't be into that sort of thing.
The only thing I was uncomfortable with was the audience participation. I don't mind other people participating, but I don't like getting called on myself. I like to sit back and enjoy the show.